Semiparametric smoothing estimators for long-memory processes with added noise
نویسندگان
چکیده
The development of Long Memory Stochastic Volatility (LMSV) models has increased the interest in the estimation of persistent processes observed with added noise. This paper investigates the performance of semi-parametric methods for estimating the longmemory-parameter in the long-range dependence plus noise case and demonstrates improvements obtained by preliminary smoothing and aggregation of the series.
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تاریخ انتشار 2001