| Autor: |
Sena, M. R., Reisen, V.A., Lopes, S.R. C. |
| Předmět: |
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| Zdroj: |
Communications in Statistics: Simulation & Computation; Aug2006, Vol. 35 Issue 3, p789-802, 14p, 9 Charts |
| Abstrakt: |
Processes with correlated errors have been widely used in economic time series. The fractionally integrated autoregressive moving-average processes—ARFIMA( p , d , q )—(Hosking, 1981) have been explored to model stationary and non stationary time series with long-memory property. This work uses the Monte Carlo simulation method to evaluate the performance of some parametric and semiparametric estimators for long and short-memory parameters of the ARFIMA model with conditional heteroskedastic (ARFIMA-GARCH model). The comparison is based on the empirical bias and the mean squared error of each estimator. [ABSTRACT FROM AUTHOR] |
| Databáze: |
Complementary Index |
| Externí odkaz: |
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