Band Spectrum Regression for Cointegrated Time Series with Long Memory Innovations

Band spectrum regression is considered for cointegrated time series with long memory innovations. The estimates we advocate are shown to be consistent when cointegrating relationships among stationary variables are investigated, while OLS are inconsistent due to correlation between the regressor and the cointegrating residuals; in the presence of unit roots, these estimates share the same asymptotic distribution as OLS. As a corollary of the main result, we provide a functional central limit theorem for quadratic forms in nonstationary fractionally integrated processes.Long-range dependence, band spectrum regression, cointegration

Some characterizations of the spherical harmonics coefficients for isotropic random fields

In this paper we provide some simple characterizations for the spherical harmonics coefficients of an isotropic random field on the sphere. The main result is a characterization of isotropic gaussian fields through independence of the coefficients of their development in spherical harmonics.Comment: 9 pages. Submitted June 200

Subsampling needlet coefficients on the sphere

In a recent paper, we analyzed the properties of a new kind of spherical wavelets (called needlets) for statistical inference procedures on spherical random fields; the investigation was mainly motivated by applications to cosmological data. In the present work, we exploit the asymptotic uncorrelation of random needlet coefficients at fixed angular distances to construct subsampling statistics evaluated on Voronoi cells on the sphere. We illustrate how such statistics can be used for isotropy tests and for bootstrap estimation of nuisance parameters, even when a single realization of the spherical random field is observed. The asymptotic theory is developed in detail in the high resolution sense.Comment: Published in at http://dx.doi.org/10.3150/08-BEJ164 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm

Narrow-Band Analysis of Nonstationary Processes

The behaviour of averaged periodograms and cross-periodograms of a broad class of nonstationary processes is studied. The processes include nonstationary ones that are fractional of any order, as well as asymptotically stationary fractional ones. The cross-periodogram can involve two nonstationary processes of possibly different orders, or a nonstationary and an asymptotically stationary one. The averaging takes place either over the whole frequency band, or over one that degenerates slowly to zero frequency as sample size increases. In some cases it is found to make no asymptotic difference, and in particular we indicate how the behaviour of the mean and variance changes across the two-dimensional space of integration orders. The results employ only local-to-zero assumptions on the spectra of the underlying weakly stationary sequences. It is shown how the results can be applied in fractional cointegration with unknown integration orders.Nonstationary processes, long-range dependence, least squares estimation, narrow-band estimation, cointegration analysis.

Weak Convergence of Multivariate Fractional Processes - (Now published in Stochastic Processes and their Applications, 80 (1999), pp.103-120.)

Weak convergence to a form of fractional Brownian motion is established for a wide class of nonstationary fractionally integrated multivariate processes. Instrumental for the main argument is a result of some independent interest on approximations for partial sums of stationary linear vector sequences. A functional central limit theorem for smoothed processes is analyzed under more general assumptions.Nonstationary fractional integration, functional central limit theorem

Asymptotics for spherical needlets

We investigate invariant random fields on the sphere using a new type of spherical wavelets, called needlets. These are compactly supported in frequency and enjoy excellent localization properties in real space, with quasi-exponentially decaying tails. We show that, for random fields on the sphere, the needlet coefficients are asymptotically uncorrelated for any fixed angular distance. This property is used to derive CLT and functional CLT convergence results for polynomial functionals of the needlet coefficients: here the asymptotic theory is considered in the high-frequency sense. Our proposals emerge from strong empirical motivations, especially in connection with the analysis of cosmological data sets.Comment: Published in at http://dx.doi.org/10.1214/08-AOS601 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org

Alternative Forms of Fractional Brownian Motion - (Now published in Journal of Statistical Planning and Inference, 80 (1999), pp.111-122.)

It is pointed out that two contradictory definitions of fractional Brownian motion are well established, one prevailing in the probabilistic literature, the other in the econometric literature. Each is associated with a different definition of nonstationary fractional time series. These various definitions have occasionally led to some confusion. The paper discusses the definitions and attempts a clarification.Frational Brownian motion, nonstationary time series, long-range dependence

Finite Sample Improvement in Statistical Inference with I(1) Processes

Robinson and Marinucci (1998) investigated the asymptotic behaviour of a narrow-band semiparametric procedure termed Frequency Domain Least Squares (FDLS) in the broad context of fractional cointegration analysis. Here we restrict to the standard case when the data are I(1) and the cointegrating errors are I(0), proving that modifications of the Fully-Modified Ordinary Least Squares (FM-OLS) procedure of Phillips and Hansen (1990) which use the FDLS idea have the same asymptotically desirable properties as FM-OLS, and, on the basis of a Monte Carlo study, find evidence that they have superior finite-sample properties; the new procedures are also shown to compare satisfactorily with parametric estimates.Fully-modified ordinary least squares, finite sample improvements, statistical inference with I(1) processes, Monte Carlo study, parametric estimates.

The Averaged Periodogram for Nonstationary Vector Time Series

Averaged periodogram; nonstationary processes; fractional Brownian motion.Averaged periodogram, nonstationary processes, fractional Brownian motion.