ESTIMATION OF THE FRACTIONAL DIFFERENCE PARAMETER IN THE ARIMA(p, d, q) MODEL USING THE SMOOTHED PERIODOGRAM

DOI10.1111/J.1467-9892.1994.TB00198.XzbMATH Open0803.62084OpenAlexW2124942867MaRDI QIDQ4299040FDOQ4299040

Authors: Valdério Anselmo Reisen 

Publication date: 5 January 1995

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1994.tb00198.x

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zbMATH Keywords

time seriesdependencesmoothed periodogramempirical approachlong memory modelsdegree of differencingautoregressive integrated moving-average \(\text{ARIMA} (p,d,q)\) processgeneral fractional differenced white noise processHurst coefficient methodraw periodogram regression method

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

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• Fractional differencing
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• Fractional Brownian Motions, Fractional Noises and Applications
• Discrimination between monotonic trends and long-range dependence
• The Asymptotic Distribution of the Range of Sums of Independent Random Variables
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Cited In (39)

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• Record length requirement of long-range dependent teletraffic
• Long memory processes and fractional integration in econometrics
• Estimation of the memory parameter by fitting fractionally differenced autoregressive models
• Invariance of the first difference in ARFIMA models
• A comparative note about estimation of the fractional parameter under additive outliers
• Long-memory and heterogeneous components in high frequency Pacific-Basin exchange rate volatility
• Revisiting the relations between Hurst exponent and fractional differencing parameter for long memory
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• Comparing the performances of symmetric and asymmetric generalized autoregressive conditionally heteroscedasticity models based on long-memory models under different distributions
• No-cointegration test based on fractional differencing: Some Monte Carlo results
• Long-memory in high-frequency exchange rate volatility under temporal aggregation
• GARTFIMA process and its empirical spectral density based estimation
• A comparison of Hurst exponent estimators in long-range dependent curve time series
• Contiguity of fractional differencing
• Some simulations and applications of forecasting long-memory time-series models
• Nonparametric frequency domain analysis of nonstationary multivariate time series
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• The effect of tapering on the semiparametric estimators for nonstationary long memory processes
• Convex combinations of long memory estimates from different sampling rates
• Unit root tests using semi-parametric estimators of the long-memory parameter
• Robust estimation in long-memory processes under additive outliers
• Local bootstrap approaches for fractional differential parameter estimation in ARFIMA models
• Fast computation and practical use of amplitudes at non-Fourier frequencies
• ARE UK SHARE PRICES TOO HIGH? FUNDAMENTAL VALUE OR NEW ERA
• Parameter estimation in low order fractionally differenced ARMA processes
• A comparison of estimation methods in non-stationary ARFIMA processes
• Estimation Methods of the Long Memory Parameter: Monte Carlo Analysis and Application
• A strongly consistent estimator of the parameters of ARIMA(0,d,0) processes
• Correlated Errors in the Parameters Estimation of the ARFIMA Model: A Simulated Study
• A generalized ARFIMA model with smooth transition fractional integration parameter
• Bootstrap techniques in semiparametric estimation methods for ARFIMA models: A comparison study.
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• Detecting long-range dependence with truncated ratios of periodogram ordinates

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