A closed formula for the durbin-levinson's algorithm in seasonal fractionally integrated processes
نویسندگان
چکیده
We consider the fractionally integrated ARFIMA Processes with seasonality s, denoted by SARFIMA(0, D, 0)s. This work presents a closed formula for the Durbin-Levinson’s algorithm relating the partial autocorrelation and the autocorrelation functions of these processes. In order to obtain the closed formula we show a hypergeometric identity, namely
منابع مشابه
Maximum Likelihood Estimation of Stationary Multivariate ARFIMA Processes
This paper considers the maximum likelihood estimation (MLE) of a class of stationary and invertible vector autoregressive fractionally integrated moving-average (VARFIMA) processes considered in (26) of Luceño [1] or Model A of Lobato [2] where each component yi,t is a fractionally integrated process of order di, i = 1, . . . , r. Under the conditions outlined in Assumption 1 of this paper, th...
متن کاملEstimation of seasonal fractionally integrated processes
This paper discusses the estimation of fractionally integrated processes with seasonal components. In order to estimate the fractional parameters, we propose several estimators obtained from the regression of the log-periodogram on different bandwidths selected around and/or between the seasonal frequencies. For comparison purposes, the semi-parametric method introduced in Geweke and Porter-Hud...
متن کاملA Model of Fractional Cointegration, and Tests for Cointegration Using the Bootstrap∗
The paper proposes a framework for modelling cointegration in fractionally integrated processes, and considers methods for testing the existence of cointegrating relationships using the parametric bootstrap. In these procedures, ARFIMA models are fitted to the data, and the estimates used to simulate the null hypothesis of non-cointegration in a vector autoregressive modelling framework. The si...
متن کاملEstimating seasonal long-memory processes: a Monte Carlo study
This paper discusses extensions of the popular methods proposed by Geweke and Porter-Hudak [Geweke, J. and Porter-Hudak, S., 1983, The estimation and application of long memory times series models. Journal of Time Series Analysis, 4(4), 221–238.] and Fox and Taqqu [Fox, R. and Taqqu, M.S., 1986, Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time serie...
متن کاملConditional distributions of Mandelbrot-Van Ness fractional Lévy processes and continuous-time ARMA-GARCH-type models with long memory
Long memory effects can be found in different kind of data from finance to hydrology. Therefore, models which can reflect these properties have become more popular in recent years especially in the fields of time series analysis, econometrics and financial mathematics. Mandelbrot-Van Ness fractional Lévy processes allow for such stationary long memory effects in their increments and have been u...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید
ثبت ناماگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید
ورودعنوان ژورنال:
- Mathematical and Computer Modelling
دوره 42 شماره
صفحات -
تاریخ انتشار 2005