𝔖 Bobbio Scriptorium
✦   LIBER   ✦

The scaling function-based estimator of long memory in the presence of a short-term component

✍ Scribed by Jérôme Fillol; Fabien Tripier

Book ID
116420812
Publisher
Elsevier Science
Year
2004
Tongue
English
Weight
96 KB
Volume
84
Category
Article
ISSN
0165-1765

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Estimating and forecasting the long-memo
Estimating and forecasting the long-memory parameter in the presence of periodicity
✍ C. Bisognin; S. R. C. Lopes 📂 Article 📅 2007 🏛 John Wiley and Sons 🌐 English ⚖ 584 KB

## Abstract We consider one parametric and five semiparametric approaches to estimate __D__ in SARFIMA (0, __D__, 0)~__s__~ processes, that is, when the process is a fractionally integrated ARMA model with seasonality __s__. We also consider __h__‐step‐ahead forecasting for these processes. We pres