Comparing the bias and misspecification in ARFIMA models
From MaRDI portal
Publication:4367891
DOI10.1111/1467-9892.00065zbMath0882.62087OpenAlexW2010156378MaRDI QIDQ4367891
Nick P. Taylor, Sanjay Yadav, Jeremy Smith
Publication date: 5 March 1998
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: http://ageconsearch.umn.edu/record/268691
Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)
Related Items (18)
A New Test for Short Memory in Long Memory Time Series ⋮ Short and long memory in stock returns data ⋮ Temporal Aggregation and Bandwidth selection in estimating long memory ⋮ Bayesian estimation of fractional difference parameter in ARFIMA models and its application ⋮ Why Aggregate Long Memory Time Series? ⋮ Not all estimators are born equal: the empirical properties of some estimators of long memory ⋮ Distinguishing short and long memory volatility specifications ⋮ Convex combinations of long memory estimates from different sampling rates ⋮ Strong dependence in the nominal exchange rates of the Polish zloty ⋮ A comparison of estimation methods in non-stationary ARFIMA processes ⋮ Bootstrap techniques in semiparametric estimation methods for ARFIMA models: A comparison study. ⋮ Out-of-sample forecast errors in misspecific perturbed long memory processes. ⋮ Minimum distance estimation of stationary and non‐stationary ARFIMA processes ⋮ Local bootstrap approaches for fractional differential parameter estimation in ARFIMA models ⋮ Inducing normality from non-Gaussian long memory time series and its application to stock return data ⋮ On least squares estimation for long-memory lattice processes ⋮ A long-memory integer-valued time series model, INARFIMA, for financial application ⋮ Some simulations and applications of forecasting long-memory time-series models
This page was built for publication: Comparing the bias and misspecification in ARFIMA models
