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Type: Artigo de periódico
Title: Minimum distance estimation of ARFIMA processes
Author: Zevallos, M
Palma, W
Abstract: This paper proposes a new minimum distance methodology for the estimation of ARFIMA processes with Gaussian and non-Gaussian errors. The main advantage of this method is that it allows for a computationally efficient estimation when the long-memory parameter is in the interval d is an element of (-1/2, 1/2). Previous minimum distance estimation techniques are usually limited to the range d is an element of (-1/2, 1/4), leaving outside the very important case of strong long memory with d is an element of [1/4, 1/2). It is shown that the new estimator satisfies a central limit theorem and Monte Carlo experiments indicate that the proposed estimator performs very well even for small sample sizes. The methodology is illustrated with three applications. The first two examples involve real-life time series while the third application illustrates that the proposed methodology is a sound alternative for dealing with incomplete time series. (C) 2012 Elsevier B.V. All rights reserved.
Subject: Autocorrelation
Fractional noise
Fractional filtering
Missing data
Non-Gaussian processes
Country: Holanda
Editor: Elsevier Science Bv
Rights: fechado
Identifier DOI: 10.1016/j.csda.2012.08.005
Date Issue: 2013
Appears in Collections:Artigos e Materiais de Revistas Científicas - Unicamp

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