A comparison of techniques of estimation in long-memory processes

被引：34

作者：

Bisaglia, L

Guegan, D

机构：

[1] Univ Padua, Dept Stat, I-35121 Padua, Italy

[2] CREST, ENSAE, URA CNRS 742, F-92245 Malakoff, France

来源：

COMPUTATIONAL STATISTICS & DATA ANALYSIS | 1998年 / 27卷 / 01期

关键词：

fractional Gaussian noise; fractional ARIMA(p; d; q); processes; estimation; long-range dependence;

D O I：

10.1016/S0167-9473(97)00045-5

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

In this paper we discuss the properties of most important estimators of long-range dependence parameters. We compare the properties of these estimators via Monte Carlo experiments. We give an empirical approach for confidence intervals for the different parameter estimates. We then apply these procedures to a real time series to investigate its long-memory properties. (C) 1998 Elsevier Science B.V. All rights reserved.

引用

页码：61 / 81

页数：21

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