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dc.contributor.authorPasini, Bárbara Patricia Olbermannpt_BR
dc.contributor.authorLopes, Silvia Regina Costapt_BR
dc.contributor.authorReisen, Valderio Anselmopt_BR
dc.date.accessioned2020-01-30T04:09:15Zpt_BR
dc.date.issued1999pt_BR
dc.identifier.urihttp://hdl.handle.net/10183/205072pt_BR
dc.description.abstractRecently, the study of time series has been focused on time series having the long memory property, that is, series in which the dependence between distant observations is not negligible. One model that shows properties of long memory is the ARF IM A(p, d, q) when the degree of differencing d is in the interval (0 .0 ,0.5), range where the process is stationary. In this work, we analyze the estimation of the degree d* in ARFIMA(O,d*,O) processes when d* > 0.5, that is, when the processes are nonstationary, but still have the property of long memory. We present a study, through simulations, for the estimators of d* with different semiparametric and parametric methods for nonstationary processes when d* belongs to the intervals (0.5, 1.0) and (1.0,1.5).en
dc.format.mimetypeapplication/pdfpt_BR
dc.language.isoengpt_BR
dc.relation.ispartofCadernos de matemática e estatística. Série A, Trabalho de pesquisa. Porto Alegre. N. 53 (nov. 1999), p. 1-17.pt_BR
dc.rightsOpen Accessen
dc.subjectEstatistica : Estimacaopt_BR
dc.subjectSéries temporais : Processos ARFIMA : Parâmetro fracionário : Estimadorespt_BR
dc.titleEstimation of the long memory parameter in nonstationary time series using semi-parametric and parametric methodspt_BR
dc.typeArtigo de periódicopt_BR
dc.identifier.nrb000289599pt_BR
dc.type.originNacionalpt_BR


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