Minimum distance estimation of stationary and non‐stationary ARFIMA processes
نویسندگان
چکیده
منابع مشابه
Minimum distance estimation of stationary and non-stationary ARFIMA processes
A new parametric minimum distance time-domain estimator for ARFIMA processes is introduced in this paper. The proposed estimator minimizes the sum of squared correlations of residuals obtained after filtering a series through ARFIMA parameters. The estimator is easy to compute and is consistent and asymptotically normally distributed for fractionally integrated (FI) processes with an integratio...
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A new parametric minimum distance time-domain estimator for ARFIMA processes is introduced in this paper. The proposed estimator minimizes the sum of squared correlations of residuals obtained after filtering a series through ARFIMA parameters. The estimator is easy to compute and is consistent, asymptotically normally distributed and efficient for fractionally integrated (FI) processes with an...
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ژورنال
عنوان ژورنال: The Econometrics Journal
سال: 2007
ISSN: 1368-4221,1368-423X
DOI: 10.1111/j.1368-423x.2007.00202.x