Estimation of slowly time-varying trend function in long memory regression models |
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| Authors: | Guillermo Ferreira Nicolas Piña Emilio Porcu |
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| Institution: | 1. Department of Statistics, University of Concepción, Concepcion, Chilegferreir@udec.cl;3. Department of Mathematics, University of Bío-Bío, Concepción, Chile;4. Newcastle University, Newcastle Upon Tyne, UK;5. Universidad Tecnica Federico Santa Maria, Valparaiso, Chile |
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| Abstract: | ABSTRACTWe study the asymptotic properties of the least-squares estimator for the trend function of a particular class of locally stationary models, which are defined by considering a smooth variation of the trend function. Additionally, errors are assumed to be realizations from a long-range dependent stationary Gaussian process. Our findings are then illustrated through Monte Carlo simulations. |
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| Keywords: | Local stationary long-range dependence non-stationarity time-varying models |
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