Optimal bias correction of the log-periodogram estimator of the fractional parameter: a jackknife approach

Nadarajah, K., Martin, G.M. and Poskitt, D.S. (2021) Optimal bias correction of the log-periodogram estimator of the fractional parameter: a jackknife approach. Journal of Statistical Planning and Inference, 211. pp. 41-79. ISSN 0378-3758

Abstract

Metadata

Authors/Creators:
  • Nadarajah, K.
  • Martin, G.M.
  • Poskitt, D.S.
Copyright, Publisher and Additional Information: © 2020 Elsevier B.V. This is an author produced version of a paper subsequently published in Journal of Statistical Planning and Inference. Uploaded in accordance with the publisher's self-archiving policy. Article available under the terms of the CC-BY-NC-ND licence (https://creativecommons.org/licenses/by-nc-nd/4.0/).
Keywords: Long memory; bias adjustment; cumulants; discrete Fourier transform; periodograms; log-periodogram regression
Dates:
  • Accepted: 25 April 2020
  • Published (online): 11 May 2020
  • Published: March 2021
Institution: The University of Sheffield
Academic Units: The University of Sheffield > Faculty of Social Sciences (Sheffield) > Department of Economics (Sheffield)
Depositing User: Symplectic Sheffield
Date Deposited: 02 Apr 2020 10:29
Last Modified: 11 May 2021 00:38
Status: Published
Publisher: Elsevier
Refereed: Yes
Identification Number: https://doi.org/10.1016/j.jspi.2020.04.010

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Filename: KNR02 AAM.pdf

Licence: CC-BY-NC-ND 4.0

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