ESTIMATION OF PARAMETERS IN ARFIMA PROCESSES: A SIMULATION STUDY

DOI10.1081/SAC-100107781MaRDI QIDQ4787612zbMATH OpenOpenAlexFDO

Authors 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

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic models, generic numerical methods in probability and statistics (65C20)

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• Long memory with stochastic variance model: a recursive analysis for US inflation
• Jackknife and bootstrap with cycling blocks for the estimation of fractional parameter in ARFIMA model
• 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
• Local bootstrap approaches for fractional differential parameter estimation in ARFIMA models
• A New Test for Short Memory in Long Memory Time Series
• Novel Bayesian algorithms for ARFIMA long-memory processes: a comparison between MCMC and ABC approaches
• Beta autoregressive fractionally integrated moving average models
• A comparison of estimation methods in non-stationary ARFIMA processes
• scientific article; zbMATH DE number 523925 (Why is no real title available?)
• 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

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