Results 231 to 240 of about 11,080 (251)

Fractional Differencing, Long Memory, and Predictive Structure

We propose a finite-sample estimator for the fractional differencing order 𝑑 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.
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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.
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Autoregressive Fractionally Integrated Moving Average or Fractional Differencing

2021
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Generalized Exponential Time Differencing Schemes for Stiff Fractional Systems with Nonsmooth Source Term

Journal of Scientific Computing, 2021
Ibrahim O Sarumi, Khaled M Furati, Abdul Q M Khaliq   +2 more
exaly  

Fractionally differenced process

2003
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Analysis of Fractionally Differenced Processes with Heteroscedastic Errors

2018
The prime goal of this research is to model the long-range dependency and volatility factors fitting in fractionally differenced ARMA (ARFIMA) and Gegenbauer ARMA processes (GARMA) in financial time series. This extends the efficiency in computing the exact maximum likelihood established by Sowell through conditional quasi maximum likelihood (QMLE) for
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Advancement of Fractionally Differenced Gegenbauer Processes with Long Memory

2015
The class of long memory time series models involving Gegenbauer processes is investigated in detail in terms of formulation, parameter estimation, prediction and testing. Corresponding truncated AR (autoregressive) and MA (moving average) approximations driven by Gaussian white noise are analysed through state space modelling and Kalman filtering to ...
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FRACTIONAL DIFFERENCING MODELING IN HYDROLOGY

Journal of the American Water Resources Association, 1985
J R M Hosking
exaly  

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

Mathematics and Computers in Simulation, 2002
Y K Tse, Võ Anh
exaly  

No-cointegration test based on fractional differencing: Some Monte Carlo results

Journal of Statistical Planning and Inference, 1999
Y K Tse, Võ Anh
exaly