Maximum likelihood estimation of the fractional differencing parameter in an ARFIMA model using wavelets
- Tse, Y.K.
- Anh, V.V.
- Tieng, Q.
DOIAbstract
10.1016/S0378-4754(01)00403-7Mathematics and Computers in Simulation591-3153-161MCSI
10.1016/S0378-4754(01)00403-7Mathematics and Computers in Simulation591-3153-161MCSI
It is known that, in the presence of short memory components, the estimation of the fractional param...
This paper derives second-order expansions for the distributions of the Whittle and profile plug-in m...
Aspects of model building using fractionally differenced autoregressive-moving average processes are...
In this paper, we examine the finite-sample properties of the approximate maximum likelihood estimat...
In this paper we study the interaction between the estimation of the fractional differencing paramet...
In this paper we apply compactly supported wavelets to the ARFIMA(p,d,q) long-memory process to deve...
In this paper we compare through Monte Carlo simulations the finite sample properties of estimators ...
This paper describes a parameter estimation method for both stationary and non-stationary ARFIMA (p,...
Computational aspects of likelihood-based estimation of univariate ARFIMA(p,d,q) models are addresse...
Computational aspects of likelihood-based estimation of univariate ARFIMA (p,d,q) models are address...
Abstract A desirable property for an estimator of the fractional ARFIMA parameter is to be first dif...
This paper proposes an identification method to fractional differencing autoregressive models, and t...
In this paper we construct a test for the difference parameter d in the fractionally integrated auto...
In this paper we consider the estimation of the fractional parameter d and the au-toregressive and m...
ARFIMA models - AutoRegressive Fractional Integrated Moving Average modelsSIGLEGBUnited Kingdo
It is known that, in the presence of short memory components, the estimation of the fractional param...
This paper derives second-order expansions for the distributions of the Whittle and profile plug-in m...
Aspects of model building using fractionally differenced autoregressive-moving average processes are...
In this paper, we examine the finite-sample properties of the approximate maximum likelihood estimat...
In this paper we study the interaction between the estimation of the fractional differencing paramet...
In this paper we apply compactly supported wavelets to the ARFIMA(p,d,q) long-memory process to deve...
In this paper we compare through Monte Carlo simulations the finite sample properties of estimators ...
This paper describes a parameter estimation method for both stationary and non-stationary ARFIMA (p,...
Computational aspects of likelihood-based estimation of univariate ARFIMA(p,d,q) models are addresse...
Computational aspects of likelihood-based estimation of univariate ARFIMA (p,d,q) models are address...
Abstract A desirable property for an estimator of the fractional ARFIMA parameter is to be first dif...
This paper proposes an identification method to fractional differencing autoregressive models, and t...
In this paper we construct a test for the difference parameter d in the fractionally integrated auto...
In this paper we consider the estimation of the fractional parameter d and the au-toregressive and m...
ARFIMA models - AutoRegressive Fractional Integrated Moving Average modelsSIGLEGBUnited Kingdo
It is known that, in the presence of short memory components, the estimation of the fractional param...
This paper derives second-order expansions for the distributions of the Whittle and profile plug-in m...
Aspects of model building using fractionally differenced autoregressive-moving average processes are...
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