Estimation Methods of the Long Memory Parameter: Monte Carlo Analysis and Application

DOI10.1080/02664760601004874zbMath1157.62059OpenAlexW1979187570MaRDI QIDQ3604092

Mohamed Boutahar, Vêlayoudom Marimoutou, Leïla Nouira

Publication date: 24 February 2009

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664760601004874

zbMATH Keywords

fractional Gaussian noiseARFIMA\((p,d,q)\) process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: estimation (62M09) Monte Carlo methods (65C05)

Related Items (10)

Infinite variance stable Gegenbauer ARFISMA models ⋮ The effect of tapering on the semiparametric estimators for nonstationary long memory processes ⋮ On a class of estimation and test for long memory ⋮ Comparing the performances of symmetric and asymmetric generalized autoregressive conditionally heteroscedasticity models based on long-memory models under different distributions ⋮ Comparison of non-parametric and semi-parametric tests in detecting long memory ⋮ A wavelet-based approach to the analysis and modelling of financial time series exhibiting strong long-range dependence: the case of Southeast Europe ⋮ Bootstrap approaches for estimation and confidence intervals of long memory processes ⋮ Evaluating the efficiency of fractional integration parameter estimators ⋮ Thek-factor GARMA Process with Infinite Variance Innovations ⋮ Behaviour of skewness, kurtosis and normality tests in long memory data

Uses Software

• longmemo

Cites Work

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