AI & ML
Local Whittle estimation for distributional time series: A regularization framework in Bayes Hilbert space
arXiv stat.CO0 views
arXiv:2611.05765v1 Announce Type: cross Abstract: We study local Whittle estimation of long memory in density-valued time series in Bayes Hilbert space. The centered log-ratio (clr) transformation maps densities to a linear Hilbert space, allowing analysis using standard Hilbert space methods. When densities are reconstructed from finite samples, however, small absolute estimation errors can remain large relative to the true density in low-density tails. Taking logarithms can amplify this noise and introduce systematic distortions that affect memory estimation. We develop a framework for regularizing estimated densities before transformation to improve finite-sample performance while preserving the latent memory target. Using the clr representation, we apply local Whittle estimation to principal component scores along an estimated leading direction of the long-run covariance operator. The framework is based on local Whittle admissibility, defined by uniform asymptotic equivalence between the feasible and latent-score criteria. We separate density-estimation error from the population perturbation induced by regularization and give sufficient admissibility conditions based on density-estimation rates and the temporal dependence of the error components. Under suitable regularity assumptions, these conditions yield consistency for the latent memory parameter. We study additional tail smoothing, a vanishing density floor, and their combination. Monte Carlo experiments show that these procedures can reduce finite-sample bias relative to unregularized kernel density reconstruction. An application to daily distributions of intraday EUR/USD exchange rate returns illustrates the methodology.
Source:https://arxiv.org/abs/2611.05765PreviousInventory and Assortment Optimization under General Choice: A Unified Approximation FrameworkNextEfficient estimation of regression models for recurrent events in presence of terminal events
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