Estimation Methods of the Long Memory Parameter: Monte Carlo Analysis and Application

DOI10.1080/02664760601004874zbMATH Open1157.62059OpenAlexW1979187570MaRDI QIDQ3604092FDOQ3604092

Authors: Mohamed Boutahar, Vêlayoudom Marimoutou, Leïla Nouira 

Publication date: 24 February 2009

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664760601004874

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zbMATH Keywords

fractional Gaussian noiseARFIMA\((p,d,q)\) process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Non-Markovian processes: estimation (62M09) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
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• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
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• Averaged periodogram estimation of long memory
• ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
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• Testing for a unit root in time series regression
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• ASYMPTOTICS FOR THE LOW-FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG-MEMORY TIME SERIES
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Cited In (22)

• Behaviour of skewness, kurtosis and normality tests in long memory data
• The \(k\)-factor GARMA process with infinite variance innovations
• Comparative evaluation of semiparametric long-memory estimators
• A Bayesian approach to estimating the long memory parameter
• On maximum likelihood estimation of the long-memory parameter in fractional Gaussian noise
• ESTIMATION OF THE LONG-MEMORY PARAMETER, BASED ON A MULTIVARIATE CENTRAL LIMIT THEOREM
• Estimating seasonal long-memory processes: a Monte Carlo study
• Bootstrap approaches for estimation and confidence intervals of long memory processes
• Not all estimators are born equal: the empirical properties of some estimators of long memory
• Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models
• Alternative estimators of long-range dependence
• Estimation of long-memory time series models: a survey of different likelihood-based methods
• Infinite variance stable Gegenbauer ARFISMA models
• Wavelets and estimation of long memory in nonstationary models: does anything beat the exact local Whittle estimator?
• Comparing the performances of symmetric and asymmetric generalized autoregressive conditionally heteroscedasticity models based on long-memory models under different distributions
• On a class of estimation and test for long memory
• The effect of tapering on the semiparametric estimators for nonstationary long memory processes
• Comparison of non-parametric and semi-parametric tests in detecting long memory
• A wavelet-based approach to the analysis and modelling of financial time series exhibiting strong long-range dependence: the case of southeast Europe
• Estimators for the long-memory parameter in LARCH models, and fractional Brownian motion
• Estimating long memory: scaling function vs. Andrews and Guggenberger GPH
• Evaluating the efficiency of fractional integration parameter estimators

Uses Software

• longmemo

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