Correlated Errors in the Parameters Estimation of the ARFIMA Model: A Simulated Study

DOI10.1080/03610910600716928MaRDI QIDQ5481748zbMATH OpenOpenAlexFDO

Authors Manoel R. jun. Sena, Valdério Anselmo Reisen, Sílvia R. C. Lopes

Publication date 10 August 2006

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610910600716928

zbMATH Keywords

tablesfractional differencinglong memory and GARCH models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) General considerations in statistical decision theory (62C05)

Recommendations

• ESTIMATION OF PARAMETERS IN ARFIMA PROCESSES: A SIMULATION STUDY
• Parameter estimation for ARMA processes with errors in models
• Comparing the bias and misspecification in ARFIMA models
• Estimating FARIMA models with uncorrelated but non-independent error terms
• ARMA MODELS WITH ARCH ERRORS

Cites work

• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• A comparison of estimation methods in non-stationary ARFIMA processes
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Averaged periodogram estimation of long memory
• Averaged periodogram spectral estimation with long-memory conditional heteroscedasticity
• Bootstrap techniques in semiparametric estimation methods for ARFIMA models: A comparison study.
• ESTIMATION OF THE FRACTIONAL DIFFERENCE PARAMETER IN THE ARIMA(p, d, q) MODEL USING THE SMOOTHED PERIODOGRAM
• Efficient parameter estimation for self-similar processes
• Estimating seasonal long-memory processes: a Monte Carlo study
• Estimation and information in stationary time series
• Estimation of seasonal fractionally integrated processes
• Fractional differencing
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Generalized autoregressive conditional heteroscedasticity
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• Log-periodogram regression of time series with long range dependence
• On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity
• POWER FUNCTION FOR INVERSE GAUSSIAN REGRESSION MODELS
• Plug‐in Selection of the Number of Frequencies in Regression Estimates of the Memory Parameter of a Long‐memory Time Series
• Robust automatic bandwidth for long memory
• Semiparametric Bayesian Inference of Long‐Memory Stochastic Volatility Models
• Semiparametric analysis of long-memory time series
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series

Cited in

(5)

• Robust estimation of fractional seasonal processes: modeling and forecasting daily average \(\mathrm{SO}_2\) concentrations
• Mixed-correlated ARFIMA processes for power-law cross-correlations
• Simulation Study on Variance of Forecast Error for Vector Arima Models
• Estimation ofk-Factor GIGARCH Process: A Monte Carlo Study
• A comparison of estimation methods in non-stationary ARFIMA processes

Describes a project that uses

Uses Software

• Ox

This page was built for publication: Correlated Errors in the Parameters Estimation of the ARFIMA Model: A Simulated Study

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5481748)