Estimation of parameters in ARFIMA processes

Detalhes bibliográficos
Autor(a) principal: Lopes, Silvia Regina Costa
Data de Publicação: 2000
Outros Autores: Abraham, Bovas, Reisen, Valderio Anselmo
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional da UFRGS
Texto Completo: http://hdl.handle.net/10183/205130
Resumo: It is known that, in the presence of short memory components, the estimation of the fractional parameter d in an Autoregressive Fractionally Integrated Moving Average, ARFIMA(p, d, q), process leads to some difficulties (Smith et al. (1997)). In this paper, we continue the efforts made by Smith et al. (1997) by conducting a simulation study to evaluate the convergence properties of the iterative estimation procedure suggested by Hosking (1981 ). In this conteJ...'t we consider some semiparametric approaches and a parametric method proposed by Whittle (1953). We also investigate the method proposed by Robinson (1995a) and a modification using the smoothed periodogram function.
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spelling Lopes, Silvia Regina CostaAbraham, BovasReisen, Valderio Anselmo2020-01-30T04:10:03Z2000http://hdl.handle.net/10183/205130000289594It is known that, in the presence of short memory components, the estimation of the fractional parameter d in an Autoregressive Fractionally Integrated Moving Average, ARFIMA(p, d, q), process leads to some difficulties (Smith et al. (1997)). In this paper, we continue the efforts made by Smith et al. (1997) by conducting a simulation study to evaluate the convergence properties of the iterative estimation procedure suggested by Hosking (1981 ). In this conteJ...'t we consider some semiparametric approaches and a parametric method proposed by Whittle (1953). We also investigate the method proposed by Robinson (1995a) and a modification using the smoothed periodogram function.application/pdfengCadernos de matemática e estatística. Série A, Trabalho de pesquisa. Porto Alegre. N. 54 (abr. 2000), p. 1-20Estatistica : EstimacaoSéries temporais : Processos ARFIMA : Parâmetro fracionário : EstimadoresEstimation of parameters in ARFIMA processesinfo:eu-repo/semantics/articleinfo:eu-repo/semantics/otherinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/openAccessreponame:Repositório Institucional da UFRGSinstname:Universidade Federal do Rio Grande do Sul (UFRGS)instacron:UFRGSTEXT000289594.pdf.txt000289594.pdf.txtExtracted Texttext/plain40526http://www.lume.ufrgs.br/bitstream/10183/205130/2/000289594.pdf.txtb2c8f7aa5a9db9be4c935076ce062a93MD52ORIGINAL000289594.pdfTexto completo (inglês)application/pdf9192498http://www.lume.ufrgs.br/bitstream/10183/205130/1/000289594.pdf2a7af949864adde5fc5d7335b501c388MD5110183/2051302021-06-26 04:47:47.612979oai:www.lume.ufrgs.br:10183/205130Repositório de PublicaçõesPUBhttps://lume.ufrgs.br/oai/requestopendoar:2021-06-26T07:47:47Repositório Institucional da UFRGS - Universidade Federal do Rio Grande do Sul (UFRGS)false
dc.title.pt_BR.fl_str_mv Estimation of parameters in ARFIMA processes
title Estimation of parameters in ARFIMA processes
spellingShingle Estimation of parameters in ARFIMA processes
Lopes, Silvia Regina Costa
Estatistica : Estimacao
Séries temporais : Processos ARFIMA : Parâmetro fracionário : Estimadores
title_short Estimation of parameters in ARFIMA processes
title_full Estimation of parameters in ARFIMA processes
title_fullStr Estimation of parameters in ARFIMA processes
title_full_unstemmed Estimation of parameters in ARFIMA processes
title_sort Estimation of parameters in ARFIMA processes
author Lopes, Silvia Regina Costa
author_facet Lopes, Silvia Regina Costa
Abraham, Bovas
Reisen, Valderio Anselmo
author_role author
author2 Abraham, Bovas
Reisen, Valderio Anselmo
author2_role author
author
dc.contributor.author.fl_str_mv Lopes, Silvia Regina Costa
Abraham, Bovas
Reisen, Valderio Anselmo
dc.subject.por.fl_str_mv Estatistica : Estimacao
Séries temporais : Processos ARFIMA : Parâmetro fracionário : Estimadores
topic Estatistica : Estimacao
Séries temporais : Processos ARFIMA : Parâmetro fracionário : Estimadores
description It is known that, in the presence of short memory components, the estimation of the fractional parameter d in an Autoregressive Fractionally Integrated Moving Average, ARFIMA(p, d, q), process leads to some difficulties (Smith et al. (1997)). In this paper, we continue the efforts made by Smith et al. (1997) by conducting a simulation study to evaluate the convergence properties of the iterative estimation procedure suggested by Hosking (1981 ). In this conteJ...'t we consider some semiparametric approaches and a parametric method proposed by Whittle (1953). We also investigate the method proposed by Robinson (1995a) and a modification using the smoothed periodogram function.
publishDate 2000
dc.date.issued.fl_str_mv 2000
dc.date.accessioned.fl_str_mv 2020-01-30T04:10:03Z
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