Invariance of the first difference in ARFIMA models

Invariance of the first difference in ARFIMA models

A desirable property for an estimator of the fractional ARFIMA parameter is to be first difference invariant. This paper investigates the effects on the fractional parameter estimator in nonstationary ARFIMA(p,d,q) processes before and after applying a first difference. We consider semiparametric an...

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Veröffentlicht in:Computational statistics 2006-12, Vol.21 (3-4), p.445-461
Hauptverfasser: Olbermann, Barbara P., Lopes, Sílvia R. C., Reisen, Valdério A.
Format: Artikel
Sprache:eng
Schlagworte:
Computer simulation
Economic models
Estimators
Invariants
Mathematical models
Monte Carlo methods
Monte Carlo simulation
Samples
Statistical analysis
Statistics
Studies
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Zusammenfassung:A desirable property for an estimator of the fractional ARFIMA parameter is to be first difference invariant. This paper investigates the effects on the fractional parameter estimator in nonstationary ARFIMA(p,d,q) processes before and after applying a first difference. We consider semiparametric and parametric approaches for estimating d. The study is based on a Monte Carlo simulation for different sample sizes. The Brazilian exchange rate series is given as an application of the methodology.[PUBLICATION ABSTRACT]
ISSN:0943-4062
1613-9658
DOI:10.1007/s00180-006-0005-0