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


Abstract:

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.