SMS scnews item created by John Ormerod at Fri 1 Dec 2017 1521
Type: Seminar
Distribution: World
Expiry: 8 Dec 2017
Calendar1: 8 Dec 2017 1400-1500
CalTitle1: A New Look at Gegenbauer Long Memory Processes
Auth: jormerod@pjormerod5.pc (assumed)

Statistics Seminar: Richard Hunt (USyd) -- A New Look at Gegenbauer Long Memory Processes


In this presentation we will look at Long Memory and Gegenbauer Long Memory 
processes, and methods for estimation of the parameters of these models. 
After a review of the history of the development of these processes, and some 
of the personalities involved, we will introduce a new method for the 
estimation of almost all the parameters of a k-factor Gegenbauer/GARMA process. 
The method essentially attempts to find parameters for the spectral density to 
ensure it most closely matches the (smoothed) periodogram. Simulations 
indicate that the new method has a similar level of accuracy to existing methods 
(Whittle, Conditional Sum-of-squares), but can be evaluated considerably faster, 
whilst making few distributional assumptions on the data.

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