Convex combinations of long memory estimates from different sampling rates
Autor(a) principal: | |
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Data de Publicação: | 2003 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | http://hdl.handle.net/10438/431 |
Resumo: | Convex combinations of long memory estimates using the same data observed at different sampling rates can decrease the standard deviation of the estimates, at the cost of inducing a slight bias. The convex combination of such estimates requires a preliminary correction for the bias observed at lower sampling rates, reported by Souza and Smith (2002). Through Monte Carlo simulations, we investigate the bias and the standard deviation of the combined estimates, as well as the root mean squared error (RMSE), which takes both into account. While comparing the results of standard methods and their combined versions, the latter achieve lower RMSE, for the two semi-parametric estimators under study (by about 30% on average for ARFIMA(0,d,0) series). |
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Souza, Leonardo RochaSmith, JeremySouza, Reinaldo CastroEscolas::EPGEFGV2008-05-13T15:24:02Z2010-09-23T18:57:41Z2008-05-13T15:24:02Z2010-09-23T18:57:41Z2003-07-020104-8910http://hdl.handle.net/10438/431Convex combinations of long memory estimates using the same data observed at different sampling rates can decrease the standard deviation of the estimates, at the cost of inducing a slight bias. The convex combination of such estimates requires a preliminary correction for the bias observed at lower sampling rates, reported by Souza and Smith (2002). Through Monte Carlo simulations, we investigate the bias and the standard deviation of the combined estimates, as well as the root mean squared error (RMSE), which takes both into account. While comparing the results of standard methods and their combined versions, the latter achieve lower RMSE, for the two semi-parametric estimators under study (by about 30% on average for ARFIMA(0,d,0) series).engEscola de Pós-Graduação em Economia da FGVEnsaios Econômicos;489Convex combinationLong memorySampling rateEconomiaEconomiaProcesso estocásticoCâmbioConvex combinations of long memory estimates from different sampling ratesinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlereponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessTHUMBNAIL1338.pdf.jpg1338.pdf.jpgGenerated Thumbnailimage/jpeg4357https://repositorio.fgv.br/bitstreams/56408b50-d8e8-4be8-9f16-7a5cd636569c/downloadfbfa4f5ec9c649abc14131dcb827c4adMD58ORIGINAL1338.pdfapplication/pdf295117https://repositorio.fgv.br/bitstreams/0d1cdddc-312a-45a1-833a-215b06065573/download7664063865e61d736da0a9580478eef7MD52TEXT1338.pdf.txt1338.pdf.txtExtracted texttext/plain68094https://repositorio.fgv.br/bitstreams/3e6172e1-406d-47ce-b886-4cf1fe9c8e01/download448e0a9acbf529b0405bf4b5d2209de5MD5710438/4312023-11-08 16:27:46.715open.accessoai:repositorio.fgv.br:10438/431https://repositorio.fgv.brRepositório InstitucionalPRIhttp://bibliotecadigital.fgv.br/dspace-oai/requestopendoar:39742023-11-08T16:27:46Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV)false |
dc.title.eng.fl_str_mv |
Convex combinations of long memory estimates from different sampling rates |
title |
Convex combinations of long memory estimates from different sampling rates |
spellingShingle |
Convex combinations of long memory estimates from different sampling rates Souza, Leonardo Rocha Convex combination Long memory Sampling rate Economia Economia Processo estocástico Câmbio |
title_short |
Convex combinations of long memory estimates from different sampling rates |
title_full |
Convex combinations of long memory estimates from different sampling rates |
title_fullStr |
Convex combinations of long memory estimates from different sampling rates |
title_full_unstemmed |
Convex combinations of long memory estimates from different sampling rates |
title_sort |
Convex combinations of long memory estimates from different sampling rates |
author |
Souza, Leonardo Rocha |
author_facet |
Souza, Leonardo Rocha Smith, Jeremy Souza, Reinaldo Castro |
author_role |
author |
author2 |
Smith, Jeremy Souza, Reinaldo Castro |
author2_role |
author author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EPGE |
dc.contributor.affiliation.none.fl_str_mv |
FGV |
dc.contributor.author.fl_str_mv |
Souza, Leonardo Rocha Smith, Jeremy Souza, Reinaldo Castro |
dc.subject.por.fl_str_mv |
Convex combination Long memory Sampling rate |
topic |
Convex combination Long memory Sampling rate Economia Economia Processo estocástico Câmbio |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Economia Processo estocástico Câmbio |
description |
Convex combinations of long memory estimates using the same data observed at different sampling rates can decrease the standard deviation of the estimates, at the cost of inducing a slight bias. The convex combination of such estimates requires a preliminary correction for the bias observed at lower sampling rates, reported by Souza and Smith (2002). Through Monte Carlo simulations, we investigate the bias and the standard deviation of the combined estimates, as well as the root mean squared error (RMSE), which takes both into account. While comparing the results of standard methods and their combined versions, the latter achieve lower RMSE, for the two semi-parametric estimators under study (by about 30% on average for ARFIMA(0,d,0) series). |
publishDate |
2003 |
dc.date.issued.fl_str_mv |
2003-07-02 |
dc.date.accessioned.fl_str_mv |
2008-05-13T15:24:02Z 2010-09-23T18:57:41Z |
dc.date.available.fl_str_mv |
2008-05-13T15:24:02Z 2010-09-23T18:57:41Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10438/431 |
dc.identifier.issn.none.fl_str_mv |
0104-8910 |
identifier_str_mv |
0104-8910 |
url |
http://hdl.handle.net/10438/431 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.ispartofseries.por.fl_str_mv |
Ensaios Econômicos;489 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.publisher.none.fl_str_mv |
Escola de Pós-Graduação em Economia da FGV |
publisher.none.fl_str_mv |
Escola de Pós-Graduação em Economia da FGV |
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reponame:Repositório Institucional do FGV (FGV Repositório Digital) instname:Fundação Getulio Vargas (FGV) instacron:FGV |
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