A comparison of estimation methods in non-stationary ARFIMA processes

DOI10.1080/0094965031000115420zbMath1060.62098OpenAlexW2159864846MaRDI QIDQ4673863

Valdério Anselmo Reisen, Barbara P. Olbermann, Sílvia R. C. Lopes

Publication date: 9 May 2005

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

Full work available at URL: https://doi.org/10.1080/0094965031000115420

zbMATH Keywords

long memoryparametricsemiparametricnonstationary time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Point estimation (62F10) Monte Carlo methods (65C05)

Related Items (6)

Estimating seasonal long-memory processes: a Monte Carlo study ⋮ Parameter estimation in Manneville-Pomeau processes ⋮ Invariance of the first difference in ARFIMA models ⋮ Estimation of seasonal fractionally integrated processes ⋮ Correlated Errors in the Parameters Estimation of the ARFIMA Model: A Simulated Study ⋮ A closed formula for the Durbin-Levinson's algorithm in seasonal fractionally integrated pro\-ces\-ses

Uses Software

• longmemo

Cites Work

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• Comparing the bias and misspecification in ARFIMA models
• Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series
• ESTIMATION OF PARAMETERS IN ARFIMA PROCESSES: A SIMULATION STUDY
• Plug‐in Selection of the Number of Frequencies in Regression Estimates of the Memory Parameter of a Long‐memory Time Series
• NON-GAUSSIAN LOG-PERIODOGRAM REGRESSION

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