ESTIMATION OF PARAMETERS IN ARFIMA PROCESSES: A SIMULATION STUDY
DOI10.1081/SAC-100107781zbMATH Open1008.62665OpenAlexW1971452322MaRDI QIDQ4787612FDOQ4787612
Valdério Anselmo Reisen, Bovas Abraham, Sílvia R. C. Lopes
Publication date: 8 January 2003
Published in: Communications in Statistics: Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1081/sac-100107781
Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic models, generic numerical methods in probability and statistics (65C20)
Cited In (18)
- Parametric and semiparametric estimations of stationary univariate ARFIMA models
- Estimation of seasonal fractionally integrated processes
- Long memory with stochastic variance model: a recursive analysis for US inflation
- On the estimation and diagnostic checking of the ARFIMA-HYGARCH model
- Invariance of the first difference in ARFIMA models
- Revisiting the relations between Hurst exponent and fractional differencing parameter for long memory
- Estimation methods for the LRD parameter under a change in the mean
- Parametric estimation for ARFIMA models via spectral methods
- Estimation ofk-Factor GIGARCH Process: A Monte Carlo Study
- A New Test for Short Memory in Long Memory Time Series
- A comparison of estimation methods in non-stationary ARFIMA processes
- Beta autoregressive fractionally integrated moving average models
- Title not available (Why is that?)
- Correlated Errors in the Parameters Estimation of the ARFIMA Model: A Simulated Study
- Bootstrap techniques in semiparametric estimation methods for ARFIMA models: A comparison study.
- First-order bias correction for fractionally integrated time series
- Detecting long-range dependence with truncated ratios of periodogram ordinates
- Bayesian estimation of fractional difference parameter in ARFIMA models and its application
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