Fast calibration of weak Farima models
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Publication:6133911
DOI10.1051/PS/2022021arXiv2206.09982OpenAlexW4290239750MaRDI QIDQ6133911FDOQ6133911
Authors: Samir Ben Hariz, Alexandre Brouste, Youssef Esstafa, M. Soltane 
Publication date: 21 August 2023
Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)
Abstract: In this paper, we investigate the asymptotic properties of Le Cam's one-step estimator for weak Fractionally AutoRegressive Integrated Moving-Average (FARIMA) models. For these models, noises are uncorrelated but neither necessarily independent nor martingale differences errors. We show under some regularity assumptions that the one-step estimator is strongly consistent and asymptotically normal with the same asymptotic variance as the least squares estimator. We show through simulations that the proposed estimator reduces computational time compared with the least squares estimator. An application for providing remotely computed indicators for time series is proposed.
Full work available at URL: https://arxiv.org/abs/2206.09982
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Inference from stochastic processes and spectral analysis (62M15)
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