BIAS-REDUCED LOG-PERIODOGRAM AND WHITTLE ESTIMATION OF THE LONG-MEMORY PARAMETER WITHOUT VARIANCE INFLATION

On the Log Periodogram Regression Estimator of the Memory Parameter in Long Memory Stochastic Volatility Models

We consider semiparametric estimation of the memory parameter in a long memory stochastic volatility model+ We study the estimator based on a log periodogram regression as originally proposed by Geweke and Porter-Hudak ~1983, Journal of Time Series Analysis 4, 221–238!+ Expressions for the asymptotic bias and variance of the estimator are obtained, and the asymptotic distribution is shown to be...

Log-periodogram regression in asymmetric long memory

Filtered Log-periodogram Regression of long memory processes

Filtered log-periodogram regression estimation of the fractional differencing parameter d is considered. Asymptotic properties are derived and the effect of filtering on d̂ is investigated. It is shown that the estimator by Geweke and Porter-Hudak (1983) can be improved significantly using a simple family of filters. The essential improvement is based on a binary decision that is asymptotically ...

Edgeworth expansions for semiparametric Whittle estimation of long memory

The semiparametric local Whittle or Gaussian estimate of the long memory parameter is known to have especially nice limiting distributional properties, being asymptotically normal with a limiting variance that is completely known. However in moderate samples the normal approximation may not be very good, so we consider a re ned, Edgeworth, approximation, for both a tapered estimate, and the ori...

the effects of keyword and context methods on pronunciation and receptive/ productive vocabulary of low-intermediate iranian efl learners: short-term and long-term memory in focus

از گذشته تا کنون، تحقیقات بسیاری صورت گرفته است که همگی به گونه ای بر مثمر ثمر بودن استفاده از استراتژی های یادگیری لغت در یک زبان بیگانه اذعان داشته اند. این تحقیق به بررسی تاثیر دو روش مختلف آموزش واژگان انگلیسی (کلیدی و بافتی) بر تلفظ و دانش لغوی فراگیران ایرانی زیر متوسط زبان انگلیسی و بر ماندگاری آن در حافظه می پردازد. به این منظور، تعداد شصت نفر از زبان آموزان ایرانی هشت تا چهارده ساله با...