Browsing by Author "Palma, Wilfredo"

Now showing 1 - 4 of 4
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    A class of antipersistent processes
    (WILEY, 2007) Bondon, Pascal; Palma, Wilfredo
    We introduce a class of stationary processes characterized by the behaviour of their infinite moving average parameters. We establish the asymptotic behaviour of the covariance function and the behaviour around zero of the spectral density of these processes, showing their antipersistent character. Then, we discuss the existence of an infinite autoregressive representation for this family of processes, and we present some consequences for fractional autoregressive moving average models.
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    AN EFFICIENT ESTIMATOR FOR LOCALLY STATIONARY GAUSSIAN LONG-MEMORY PROCESSES
    (INST MATHEMATICAL STATISTICS, 2010) Palma, Wilfredo; Olea, Ricardo
    This paper addresses the estimation of locally stationary long-range dependent processes, a methodology that allows the statistical analysis of time series data exhibiting both nonstationarity and strong dependency. A time-varying parametric formulation of these models is introduced and a Whittle likelihood technique is proposed for estimating the parameters involved. Large sample properties of these Whittle estimates such as consistency, normality and efficiency are established in this work. Furthermore, the finite sample behavior of the estimators is investigated through Monte Carlo experiments. As a result from these simulations, we show that the estimates behave well even for relatively small sample sizes.
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    Assessing influence in Gaussian long-memory models
    (ELSEVIER SCIENCE BV, 2008) Palma, Wilfredo; Bondon, Pascal; Tapia, Jose
    A statistical methodology for detecting influential observations in long-memory models is proposed. The identification of these influential points is carried out by case-deletion techniques. In particular, a Kullback-Leibler divergence is considered to measure the effect of a subset of observations on predictors and smoothers. These techniques are illustrated with an analysis of the River Nile data where the proposed methods are compared to other well-known approaches such as the Cook and the Mahalanobis distances. (c) 2008 Elsevier B.V. All rights reserved.
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    On the sample mean of locally stationary long-memory processes
    (ELSEVIER SCIENCE BV, 2010) Palma, Wilfredo
    Some asymptotic statistical properties of the sample mean of a class locally stationary long-memory process are studied in this paper. Conditions for consistency are investigated and precise convergence rates of the variance of the sample mean are established for a class of time-varying long-memory parameter functions. A central limit theorem for the sample mean is also established. Furthermore, the calculation of the variance of the sample mean is illustrated through several numerical and simulation experiments. (C) 2010 Elsevier B.V. All rights reserved.