Log-Periodogram Regression with Odd Fourier Frequencies

by Erhard Reschenhofer.

Abstract: In this paper, a modification of the log-periodogram regression approach for estimating the fractional differencing parameter is proposed. It is based on the inclusion of additional frequencies which are obtained from the Fourier frequencies by subtracting the constant pi/n. The results of an extensive simulation study show that this modification significantly reduces the root mean squared error.

Key Words: Fractionally integrated process, frequency-domain estimation, periodogram

Erhard Reschenhofer, erhard.reschenhofer@univie.ac.at

Editor: Mark Greenwood, greenwood.stat@gmail.com

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