Local bootstrap approaches for fractional differential parameter estimation in ARFIMA models

Computational Statistics and Data Analysis

Volumn 51, Issue 2, 2006, Pages 1002-1011

  Silva, E M ^a   Franco, G C ^b   Reisen, V A ^c   Cruz, F R B ^b  

^a UNIVERSIDADE FEDERAL DO TOCANTINS   (Brazil)

^b FEDERAL UNIVERSITY OF MINAS GERAIS   (Brazil)

^c FEDERAL UNIVERSITY OF ESPÍRITO SANTO   (Brazil)

Author keywords

Bootstrap; Fractionally integrated ARMA process; Time series analysis

Indexed keywords

DATA STRUCTURES; ERROR ANALYSIS; MATHEMATICAL MODELS; PROBLEM SOLVING; TIME SERIES ANALYSIS;

BOOTSTRAP; FRACTIONALLY INTEGRATED ARMA PROCESS; PERIODOGRAM FUNCTION; SEMIPARAMETRIC ESTIMATORS;

PARAMETER ESTIMATION;

EID: 33750309110     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2005.10.007     Document Type: Article

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