A bias-reduced log-periodogram regression estimator for the long-memory parameter

Keyphrases

• Long Memory Parameter 100%
• Regression Estimator 100%
• Log-periodogram Regression 100%
• Asymptotic Mean Squared Error 66%
• Frequency number 66%
• First-order 33%
• Data Dependency 33%
• Regression Model 33%
• Fast Rates 33%
• Monte Carlo Simulation 33%
• High-order 33%
• Spectral Density 33%
• Order Bias 33%
• Regressor 33%
• Asymptotic Variance 33%
• Asymptotic Normality 33%
• Positive Integer 33%
• Zero Frequency 33%
• Bias-variance 33%
• Multiplicative Constant 33%
• Normalized Spectra 33%
• ARFIMA 33%
• Optimal Convergence Rate 33%
• Plug-in Method 33%
• Asymptotic Bias 33%
• Asymptotic Mean 33%
• Mean Square Error 33%

Mathematics

• Regression Estimator 100%
• Periodogram 100%
• Mean Square Error 100%
• Variance 66%
• Asymptotics 66%
• Dependent Data 33%
• Gaussian Distribution 33%
• Regression Model 33%
• Minimizes 33%
• Regressors 33%
• Asymptotic Normality 33%
• Spectral Density 33%
• Positive Integer 33%
• Optimal Choice 33%
• Asymptotic Bias 33%
• Multiplicative Constant 33%
• Monte Carlo Method 33%
• Rate of Convergence 33%