Impact of the periodicity and trend on the FD parameter estimation

A Almasri, B Holmquist, Shakir Hussain

    Research output: Contribution to journalArticle

    1 Citation (Scopus)


    It is well known that one of the features of long-memory processes is that they tend to have what looks like trends and cycles. A consequence of this property is that it is difficult to distinguish a long-memory process from a nonstationary process. In this paper, we study the impact of the periodicity and trend on different methods for estimating the long-memory processes parameter d.
    Original languageEnglish
    Pages (from-to)79-87
    Number of pages9
    JournalJournal of Statistical Computation and Simulation
    Issue number1
    Publication statusPublished - 1 Jan 2007


    • trend
    • periodicity
    • long-memory
    • discrete wavelet transform


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