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

DOI10.1080/03610910600716928zbMATH Open1102.62099OpenAlexW2015116483MaRDI QIDQ5481748FDOQ5481748

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

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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)

Cites Work

• Title not available (Why is that?)
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• On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity
• POWER FUNCTION FOR INVERSE GAUSSIAN REGRESSION MODELS
• Estimating seasonal long-memory processes: a Monte Carlo study
• Bootstrap techniques in semiparametric estimation methods for ARFIMA models: A comparison study.
• A comparison of estimation methods in non-stationary ARFIMA processes

Cited In (4)

• Robust estimation of fractional seasonal processes: modeling and forecasting daily average \(\mathrm{SO}_2\) concentrations
• 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

Uses Software

• Ox

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