Local bootstrap approaches for fractional differential parameter estimation in ARFIMA models

DOI10.1016/J.CSDA.2005.10.007MaRDI QIDQ1010441zbMATH OpenOpenAlexFDO

Authors Eduardo M. Silva, Glaura C. Franco, Valdério Anselmo Reisen, F. R. B. Cruz

Publication date 6 April 2009

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2005.10.007

zbMATH Keywords

bootstraptime series analysisfractionally integrated ARMA process

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)

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• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
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• Comparing the bias and misspecification in ARFIMA models
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• ESTIMATION OF THE FRACTIONAL DIFFERENCE PARAMETER IN THE ARIMA(p, d, q) MODEL USING THE SMOOTHED PERIODOGRAM
• Estimation of seasonal fractionally integrated processes
• Fractional Brownian Motions, Fractional Noises and Applications
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• Semiparametric analysis of long-memory time series
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• The Local Bootstrap for Periodogram Statistics

Cited in

(10)

• A bootstrap approximation for the distribution of the local Whittle estimator
• Bootstrap testing for discontinuities under long-range dependence
• Approximate regenerative-block bootstrap for Markov chains
• Jackknife and bootstrap with cycling blocks for the estimation of fractional parameter in ARFIMA model
• Bootstrap-based bandwidth choice for log-periodogram regression
• Bootstrap techniques in semiparametric estimation methods for ARFIMA models: A comparison study.
• Bootstrap approaches for estimation and confidence intervals of long memory processes
• Bootstrapping long memory tests: some Monte Carlo results
• Using the bootstrap for finite sample confidence intervals of the log periodogram regression
• Bootstrap assisted specification tests for the ARFIMA model

Describes a project that uses

Uses Software

• bootstrap

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