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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2018.3
- 수록면
- 523 - 532 (10page)
- DOI
- 10.7465/jkdi.2018.29.2.523
이용수
초록· 키워드
오류제보하기
The estimation of the long-memory parameter is a crucial issue in the long-range dependent process. The log-regression method proposed by Geweke and Porter-Hudak (1983) is one of the popular semi-parametric approach to estimate the long-memory parameter. However, the conventional method is highly influenced by the presence of outliers or heavy-tailed distributed errors. This paper investigates the possibility of using Laplace periodogram to analyze long-memory processes. Laplace periodogram derived by the least absolute deviations in the harmonic regression procedure is a robust alternative to the ordinary periodogram for spectral analysis. Numerical studies including simulation study and real data analysis are presented for the comparison.
목차
Abstract
1. Introduction
2. Laplace periodogram
3. Log regression via Laplace periodogram
4. Numerical examples
5. Conclusion
References
참고문헌 (18)
참고문헌 신청
[학술지(정기간행물)] - Baillie, R. T. / 1996 / Long memory processes and fractional integration in econometrics / Journal of Econo-metrics 73 : 5 ~ 59
[학술지(정기간행물)] - Baillie, R. T. / 2002 / Modeling and forecasting from trend-stationary long memory models with applications to climatology / International Journal of Forecasting 18 : 215 ~ 226
[단행본] - Beran, J. / 1994 / Statistics for long-memory processes / Chapman & Hall
[단행본] - Beran, J. / 2013 / Long memory processes-probabilistic properties and statistical models / Springer
[단행본] - Bhansali, R. J. / 2001 / Estimation of the long-memory parameter: A review of recent developments and an extension. Lecture Notes-Monograph Series : 125 ~ 150
[학술지(정기간행물)] - Baillie, R. T. / 2002 / Modeling and forecasting from trend-stationary long memory models with applications to climatology / International Journal of Forecasting 18 : 215 ~ 226
[단행본] - Beran, J. / 1994 / Statistics for long-memory processes / Chapman & Hall
[단행본] - Beran, J. / 2013 / Long memory processes-probabilistic properties and statistical models / Springer
[단행본] - Bhansali, R. J. / 2001 / Estimation of the long-memory parameter: A review of recent developments and an extension. Lecture Notes-Monograph Series : 125 ~ 150
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