Evaluating the efficiency of fractional integration parameter estimators

DOI10.1080/00949650802627410zbMath1188.37078OpenAlexW2094741761MaRDI QIDQ3564762

G. O. L. C. Marques

Publication date: 26 May 2010

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949650802627410

zbMATH Keywords

time seriesMonte Carlo simulationfractional integrationlong memory

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Economic time series analysis (91B84) Time series analysis of dynamical systems (37M10)

Uses Software

• longmemo

Cites Work

• Approach to an irregular time series on the basis of the fractal theory
• Gaussian semiparametric estimation of long range dependence
• Invariance of the first difference in ARFIMA models
• ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Estimation Methods of the Long Memory Parameter: Monte Carlo Analysis and Application
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Ten Lectures on Wavelets
• Testing for long‐range dependence in the presence of shifting means or a slowly declining trend, using a variance‐type estimator
• Long-Term Memory in Stock Market Prices
• Are Output Fluctuations Transitory?
• Fractional Brownian Motions, Fractional Noises and Applications
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