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Parametric estimation for ARFIMA models via spectral methods

✍ Scribed by Mauro Coli; Lara Fontanella; Mariagrazia Granturco

Book ID
110544358
Publisher
Springer
Year
2005
Tongue
English
Weight
836 KB
Volume
14
Category
Article
ISSN
1613-981X

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Let us consider the ΓΏxed regression model, Yt = m(xt) + t ; t = 1; : : : ; n; and assume that the random errors, { t }; follow an ARMA-type dependence structure. The purpose of this paper is to study the application of the bootstrap test to check that the unknown regression function, m, follows a ge