标题：Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series - (Now published in 'Journal of the American Statistical Association', 95, (2000), pp.1229-1243.)
出版社：Suntory Toyota International Centres for Economics and Related Disciplines
摘要：Whittle pseudo-maximum likelihood estimates of parameters for stationarytime series have been found to be consistent and asumptotically normal in thepresence of long-range dependence. Generalizing the definition of thememory parameter d, we extend these results to include possiblynonstationary (0.5 . d < 1) or antipersistent (-0.5 < d < 0) observations. Usingadequate data tapers we can apply this estimation technique to any degree ofnonstationarity d . ZLWKRXW SULRU NQRZOHGJH RI WKH PHPRU\ RI WKH VHULHVWe analyse the performance of the estimates on simulated and real data
关键词：Long-range dependence; nonstationary long memory time series;nonstationary fractional models; frequency domain estimation; tapering
