Jackknife and bootstrap with cycling blocks for the estimation of fractional parameter in ARFIMA model

zbMATH Open1208.62137MaRDI QIDQ3084547FDOQ3084547

Authors: Lorenc Ekonomi, Argjir Butka 

Publication date: 25 March 2011

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Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Cited In (5)

• Optimal bias correction of the log-periodogram estimator of the fractional parameter: a jackknife approach
• Parameter estimation for ARTFIMA time series
• ESTIMATION OF PARAMETERS IN ARFIMA PROCESSES: A SIMULATION STUDY
• Local bootstrap approaches for fractional differential parameter estimation in ARFIMA models
• Bootstrap techniques in semiparametric estimation methods for ARFIMA models: A comparison study.

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