ESTIMATION OF PARAMETERS IN ARFIMA PROCESSES: A SIMULATION STUDY

DOI10.1081/SAC-100107781MaRDI QIDQ4787612zbMATH OpenOpenAlexFDO

Authors Valdério Anselmo Reisen, Bovas Abraham, Sílvia R. C. Lopes

Publication date 8 January 2003

Published in Communications in Statistics: Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/sac-100107781

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic models, generic numerical methods in probability and statistics (65C20)

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• Estimation methods for the LRD parameter under a change in the mean
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• Estimation ofk-Factor GIGARCH Process: A Monte Carlo Study
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• A comparison of estimation methods in non-stationary ARFIMA processes
• Detecting long-range dependence with truncated ratios of periodogram ordinates
• Correlated Errors in the Parameters Estimation of the ARFIMA Model: A Simulated Study
• A New Test for Short Memory in Long Memory Time Series
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• Novel Bayesian algorithms for ARFIMA long-memory processes: a comparison between MCMC and ABC approaches
• Beta autoregressive fractionally integrated moving average models
• Estimation of seasonal fractionally integrated processes

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