Results 151 to 160 of about 234,828 (176)
Some of the next articles are maybe not open access.
Estimation of frequencies of sinusoids in fractionally differenced gaussian noise
Proceedings 7th International Conference on Signal Processing, 2004. Proceedings. ICSP '04. 2004., 2005This paper is concerned with the estimation of frequencies of sinusoids based on the data disturbed by fractal noises. For fractionally differenced Gaussian noises, a combinatory method of bias compensated least squares (BCLS) and maximum likelihood (ML) is presented here for this problem.
null Chuangbai Xiao +2 more
openaire +1 more source
Spectral approximation to the fractional differencing operator
2006The article proposes a criterion for the estimation of the best ARMA(1,1) process which approximates a given fractionally integrated process.
PICCOLO, DOMENICO, CORDUAS, MARCELLA
openaire +1 more source
Fractional Differencing, Long Memory, and Predictive Structure
We propose a finite-sample estimator for the fractional differencing order đ of equity log-price series, motivated by the empirical failure of classical frequency-domain estimators-including the extended Whittle estimator-to resolve economically meaningful cross-sectional heterogeneity in long-range dependence.openaire +1 more source
Estimating the Fractionally Integrated Model with a Break in the Differencing Parameter [PDF]
Economics Bulletin, 2007 This note examines a new problem in the structural-change literature. A fractionally integrated model is assumed to experience a change in the differencing parameter at an unknown time. We develop consistent estimators of the change point and the pre- and post-shift differencing parameters.
openaire
Autoregressive Fractionally Integrated Moving Average or Fractional Differencing
2021openaire +1 more source