Discrete Fourier Transforms of Fractional Processes August

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dc.contributor.author Phillips, Peter en
dc.date.accessioned 2006-11-30T20:53:22Z en
dc.date.available 2006-11-30T20:53:22Z en
dc.date.issued 1999 en
dc.identifier.citation Department of Economics Working Paper Series 193 en
dc.identifier.uri http://hdl.handle.net/2292/149 en
dc.description.abstract Discrete Fourier transforms (dft's) of fractional processes are studied and a exact representation of the dft is given in terms of the component data. The new representation gives the frequency domain form of the model for a fractional process, and is particularly useful in analyzing the asymptotic behavior of the dft and periodogram in the nonstationary case when the memory parameter d > 1/2. Various asymptotic approximations are suggested. It is shown that smoothed periodogram spectral estimates remain consistent for frequencies away from the origin in the nonstationary case provided the memory parameter d < 1. When d = 1, the spectral estimates are inconsistent and converge weakly to random variates. Applications of the theory to log periodogram regression and local Whittle estimation of the memory parameter are discussed and some modified versions of these procedures are suggested. en
dc.format.extent application/pdf en
dc.format.mimetype text en
dc.language.iso en en
dc.publisher ResearchSpace@Auckland en
dc.relation.ispartofseries Department of Economics Working Paper Series (1997-2006) en
dc.rights Items in ResearchSpace are protected by copyright, with all rights reserved, unless otherwise indicated. Previously published items are made available in accordance with the copyright policy of the publisher. en
dc.rights.uri https://researchspace.auckland.ac.nz/docs/uoa-docs/rights.htm en
dc.subject.other Discrete Fourier transform en
dc.subject.other Economics en
dc.title Discrete Fourier Transforms of Fractional Processes August en
dc.type Working Paper en
dc.rights.holder Copyright: the author en
dc.rights.accessrights http://purl.org/eprint/accessRights/OpenAccess en
pubs.org-id Economics en

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