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dc.contributor.authorLopes, Silvia Regina Costapt_BR
dc.contributor.authorAbraham, Bovaspt_BR
dc.contributor.authorReisen, Valderio Anselmopt_BR
dc.date.accessioned2020-01-30T04:10:03Zpt_BR
dc.date.issued2000pt_BR
dc.identifier.urihttp://hdl.handle.net/10183/205130pt_BR
dc.description.abstractIt is known that, in the presence of short memory components, the estimation of the fractional parameter d in an Autoregressive Fractionally Integrated Moving Average, ARFIMA(p, d, q), process leads to some difficulties (Smith et al. (1997)). In this paper, we continue the efforts made by Smith et al. (1997) by conducting a simulation study to evaluate the convergence properties of the iterative estimation procedure suggested by Hosking (1981 ). In this conteJ...'t we consider some semiparametric approaches and a parametric method proposed by Whittle (1953). We also investigate the method proposed by Robinson (1995a) and a modification using the smoothed periodogram function.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. 54 (abr. 2000), p. 1-20pt_BR
dc.rightsOpen Accessen
dc.subjectEstatistica : Estimacaopt_BR
dc.subjectSéries temporais : Processos ARFIMA : Parâmetro fracionário : Estimadorespt_BR
dc.titleEstimation of parameters in ARFIMA processespt_BR
dc.typeArtigo de periódicopt_BR
dc.identifier.nrb000289594pt_BR
dc.type.originNacionalpt_BR


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