A semiparametric approach to estimate two seasonal fractional parameters in the SARFIMA model

DOI10.1016/j.matcom.2013.11.001OpenAlexW2080840125MaRDI QIDQ2229814

Wilfredo Palma, Bartolomeu Zamprogno, Valdério Anselmo Reisen, Josu Arteche

Publication date: 18 February 2021

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10533/130675

zbMATH Keywords

seasonalitytime serieslong memoryfractional differencingSARFIMA

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Self-similar stochastic processes (60G18)

Related Items (5)

Principal component analysis with autocorrelated data ⋮ Minimax filtering of sequences with periodically stationary increments ⋮ M-periodogram for the analysis of long-range-dependent time series ⋮ Inference for estimators of generalized long memory processes ⋮ Robust estimation of fractional seasonal processes: modeling and forecasting daily average \(\mathrm{SO}_2\) concentrations

Cites Work

• Unnamed Item
• Forecasting time series with multiple seasonal patterns
• Estimation of seasonal fractionally integrated processes
• Some simulations and applications of forecasting long-memory time-series models
• Nonlinear log-periodogram regression for perturbed fractional processes
• Log-periodogram regression of time series with long range dependence
• A generalized fractionally differencing approach in long-memory modeling
• Triple seasonal methods for short-term electricity demand forecasting
• Semiparametric Inference in Seasonal and Cyclical Long Memory Processes
• Modelling Long‐memory Time Series with Finite or Infinite Variance: a General Approach
• Testing Stochastic Cycles in Macroeconomic Time Series
• On the properties of the periodogram of a stationary long-memory process over different epochs with applications
• REGRESSION OF SPECTRAL ESTIMATORS WITH FRACTIONALLY INTEGRATED TIME SERIES
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Long‐Memory Time Series
• The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
• Fractional differencing
• ON GENERALIZED FRACTIONAL PROCESSES
• A k-Factor GARMA Long-memory Model
• (MIS)SPECIFICATION OF LONG MEMORY IN SEASONAL TIME SERIES
• ON GENERALIZED FRACTIONAL PROCESSES – A CORRECTION
• Semiparametric robust tests on seasonal or cyclical long memory time series
• LONG-RANGE DEPENDENCE AND MIXING FOR DISCRETE TIME FRACTIONAL PROCESSES
• Estimating seasonal long-memory processes: a Monte Carlo study
• Trimming and Tapering Semi‐Parametric Estimates in Asymmetric Long Memory Time Series
• Efficient Estimation of Seasonal Long‐Range‐Dependent Processes

This page was built for publication: A semiparametric approach to estimate two seasonal fractional parameters in the SARFIMA model