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.