Search Results - subject:"Fractional differencing parameter"

A test for the existence of a fractional root in a non-stationary time series

Lemus, Diego; Castaño, Elkin - In: Lecturas de Economía (2013) 78, pp. 151-184

In this work, we present a modification of the hypothesis testing procedure for the existence of long memory in the stationary and invertible ARFIMA(p,d,q) process proposed by Castaño, Gómez and Gallón (2008). This modification allows assessing the existence of a fractional root in a...

Persistent link: https://www.econbiz.de/10010902335

Filtered Log-periodogram Regression of long memory processes

Feng, Yuanhua; Beran, Jan - 2008

Filtered log-periodogram regression estimation of the fractional differencing parameter d is considered. Asymptotic …

Persistent link: https://www.econbiz.de/10010266936

Prueba de hipótesis sobre la existencia de una raíz fraccional en una serie de tiempo no estacionaria

Lemus, Diego; Castaño Vélez, Elkin - In: Lecturas de economía 78 (2013), pp. 151-184

Persistent link: https://www.econbiz.de/10011523625

Maximum likelihood estimation of the fractional differencing parameter in an ARFIMA model using wavelets

Tse, Y.K.; Anh, V.V.; Tieng, Q. - In: Mathematics and Computers in Simulation (MATCOM) 59 (2002) 1, pp. 153-161

fractional differencing parameter d in an ARFIMA(p, d, q) model based on the wavelet coefficients. Ignoring wavelet coefficients …

Persistent link: https://www.econbiz.de/10010748515