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Titolo:
Estimating the Hurst parameter in fractional ARIMA(p,d,q) models via the quasi-likelihood method
Autore:
Biondini, R; Lin, YX;
Indirizzi:
Univ Wollongong, Sch Math & Appl Stat, Wollongong, NSW 2522, Australia Univ Wollongong Wollongong NSW Australia 2522 ongong, NSW 2522, Australia
Titolo Testata:
MATHEMATICS AND COMPUTERS IN SIMULATION
fascicolo: 4-6, volume: 48, anno: 1999,
pagine: 407 - 416
SICI:
0378-4754(199906)48:4-6<407:ETHPIF>2.0.ZU;2-I
Fonte:
ISI
Lingua:
ENG
Keywords:
Hurst parameter; fractional ARIMA(p,d,q) models; quasi-likelihood method;
Tipo documento:
Article
Natura:
Periodico
Settore Disciplinare:
Engineering, Computing & Technology
Citazioni:
9
Recensione:
Indirizzi per estratti:
Indirizzo: Lin, YX Univ Wollongong, Sch Math & Appl Stat, Northfields Ave, Wollongong, NSW 2522, Australia Univ Wollongong Northfields Ave Wollongong NSW Australia 2522 alia
Citazione:
R. Biondini e Y.X. Lin, "Estimating the Hurst parameter in fractional ARIMA(p,d,q) models via the quasi-likelihood method", MATH COMP S, 48(4-6), 1999, pp. 407-416

Abstract

This paper is concerned with RIS analysis given a fractional ARIMA(p,d,q) model with finite variance where the aim is to estimate the intensity of long-range dependence of the particular series. This is done through what is commonly referred to as the Hurst parameter (denoted by H). H is a measure of self-similarity of a given time series. The goal of this paper is to examine the effectiveness of applying the method of asymptotic quasi-likelihood to RIS analysis instead of the conventional method of least squares. (C) 1999 IMACS/Elsevier Science B.V. All rights reserved.

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Documento generato il 01/10/20 alle ore 00:06:08