Evaluating the efficiency of fractional integration parameter estimators

DOI10.1080/00949650802627410MaRDI QIDQ3564762zbMATH OpenOpenAlexFDO

Authors G. O. L. C. Marques

Publication date 26 May 2010

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949650802627410

zbMATH Keywords

fractional integrationlong memoryMonte Carlo simulationtime series

Mathematics Subject Classification ID

Time series analysis of dynamical systems (37M10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Monte Carlo methods (65C05) Economic time series analysis (91B84)

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Cites work

• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Approach to an irregular time series on the basis of the fractal theory
• Are output fluctuations transitory?
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• ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
• Fractional Brownian Motions, Fractional Noises and Applications
• Fractional differencing
• Gaussian semiparametric estimation of long range dependence
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• Long-Term Memory in Stock Market Prices
• Ten Lectures on Wavelets
• Testing for long‐range dependence in the presence of shifting means or a slowly declining trend, using a variance‐type estimator
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS

Describes a project that uses

Uses Software

• longmemo

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