Local bootstrap approaches for fractional differential parameter estimation in ARFIMA models

DOI10.1016/j.csda.2005.10.007zbMath1157.62497OpenAlexW2092787549MaRDI QIDQ1010441

Glaura C. Franco, Eduardo M. Silva, Frederico R. B. Cruz, Valdério Anselmo Reisen

Publication date: 6 April 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2005.10.007

zbMATH Keywords

bootstraptime series analysisfractionally integrated ARMA process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bootstrap, jackknife and other resampling methods (62F40) Nonparametric statistical resampling methods (62G09)

Related Items (7)

A bootstrap approximation for the distribution of the local Whittle estimator ⋮ Bootstrap approaches for estimation and confidence intervals of long memory processes ⋮ Using the bootstrap for finite sample confidence intervals of the log periodogram regression ⋮ Bootstrapping long memory tests: some Monte Carlo results ⋮ Bootstrap-based bandwidth choice for log-periodogram regression ⋮ Approximate regenerative-block bootstrap for Markov chains ⋮ Bootstrap testing for discontinuities under long-range dependence

Uses Software

• bootstrap

Cites Work

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• Averaged periodogram estimation of long memory
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• ESTIMATION OF THE FRACTIONAL DIFFERENCE PARAMETER IN THE ARIMA(p, d, q) MODEL USING THE SMOOTHED PERIODOGRAM
• Comparing the bias and misspecification in ARFIMA models
• The Local Bootstrap for Periodogram Statistics
• Fractional Brownian Motions, Fractional Noises and Applications

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