Fast calibration of weak Farima models

DOI10.1051/PS/2022021MaRDI QIDQ6133911zbMATH OpenOpenAlexFDO

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)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2206.09982

zbMATH Keywords

asymptotic normalityconsistencyleast squares estimatorLe Cam's one-step estimatorweak FARIMA models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Inference from stochastic processes and spectral analysis (62M15)

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.

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