Local bootstrap approaches for fractional differential parameter estimation in ARFIMA models
DOI10.1016/J.CSDA.2005.10.007zbMATH Open1157.62497OpenAlexW2092787549MaRDI QIDQ1010441FDOQ1010441
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
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- Estimation of seasonal fractionally integrated processes
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- Bootstrap techniques in semiparametric estimation methods for ARFIMA models: A comparison study.
Cited In (10)
- Bootstrapping long memory tests: some Monte Carlo results
- Using the bootstrap for finite sample confidence intervals of the log periodogram regression
- Bootstrap approaches for estimation and confidence intervals of long memory processes
- Bootstrap assisted specification tests for the ARFIMA model
- Jackknife and bootstrap with cycling blocks for the estimation of fractional parameter in ARFIMA model
- A bootstrap approximation for the distribution of the local Whittle estimator
- Approximate regenerative-block bootstrap for Markov chains
- Bootstrap testing for discontinuities under long-range dependence
- Bootstrap-based bandwidth choice for log-periodogram regression
- Bootstrap techniques in semiparametric estimation methods for ARFIMA models: A comparison study.
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