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Chinese Journal of Management Science ›› 2006, Vol. ›› Issue (4): 1-5.

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Semi-Parametric Estimation Methods on Long-Memory Processes with Added Noise

ZHAO Wei, HE Jian-min   

  1. School of Economics & Management, Southeast University, Nanjing 210096, China
  • Received:2005-09-25 Revised:2006-07-07 Online:2006-08-28 Published:2012-03-07

Abstract: The parameter estimation of long memory process with added noise is always ignored.In this work,after the sample data are aggregated,the methods of semi-parametric estimation including local Whittle estimation and log-periodogram regression are used.Compared to LP regression,LW estimation was proved to solve the parameter selection,and it also can neglect the impression of noise data.Then LW estimation was applied in China stock market.The results presented that long memory was found greater during the gravely outburst events,and which was stronger in the post-event than in the pre-event.

Key words: long memory, aggregation operator, LW estimation, gravely outburst events

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