Abstract

A periodically time varying long memory parameter version of the fixed long memory parameter case local asymptotic normality (LAN) results are implemented here. The process is assumed to be invertible and causal for simplicity. We prove that the general condition of LAN is verified by our model. The simulation experiment is carried out for studying the distribution of the central sequence in LAN property. The most interesting in this note is to construct an adaptive estimate in future consideration of this type of model.

中文翻译：

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周期性时变长记忆参数的局部渐近正态性

摘要

此处实现了固定长内存参数情况局部渐近正态性 (LAN) 结果的周期性时变长内存参数版本。为简单起见，假设该过程是可逆的和因果的。我们证明了我们的模型验证了局域网的一般情况。为研究局域网特性中中心序列的分布，进行了仿真实验。本说明中最有趣的是在未来考虑此类模型时构建自适应估计。