Estimation of seasonal fractionally integrated processes

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dc.contributor.authorReisen, VA
dc.contributor.authorRodrigues, AL
dc.contributor.authorPalma, W
dc.date.accessioned2024-01-10T12:05:17Z
dc.date.available2024-01-10T12:05:17Z
dc.date.issued2006
dc.description.abstractThis paper discusses the estimation of fractionally integrated processes with seasonal components. In order to estimate the fractional parameters, we propose several estimators obtained from the regression of the log-periodogram on different bandwidths selected around and/or between the seasonal frequencies. For comparison purposes, the semi-paramenic method introduced in Geweke and Porter-Hudak (1983) and Porter-Hudak (1990) and the maximum-likelihood estimates (ML) are also considered. As indicated by the Monte Carlo simulations, the performance of the estimators proposed is good even for small sample sizes. (c) 2004 Elsevier B.V. All rights reserved.
dc.fechaingreso.objetodigital2024-04-09
dc.format.extent15 páginas
dc.fuente.origenWOS
dc.identifier.doi10.1016/j.csda.2004.08.004
dc.identifier.eissn1872-7352
dc.identifier.issn0167-9473
dc.identifier.urihttps://doi.org/10.1016/j.csda.2004.08.004
dc.identifier.urihttps://repositorio.uc.cl/handle/11534/75981
dc.identifier.wosidWOS:000232246200018
dc.information.autorucMatemática;Palma W;S/I;100091
dc.issue.numero2
dc.language.isoen
dc.nota.accesocontenido parcial
dc.pagina.final582
dc.pagina.inicio568
dc.publisherELSEVIER SCIENCE BV
dc.revistaCOMPUTATIONAL STATISTICS & DATA ANALYSIS
dc.rightsacceso restringido
dc.subjectfractional differencing
dc.subjectlong memory
dc.subjectmaximum-likelihood estimates
dc.subjectperiodogram regression
dc.subjectseasonality
dc.subjectLONG-MEMORY PROCESSES
dc.subjectARFIMA PROCESSES
dc.subjectMODELS
dc.subject.ods08 Decent Work and Economic Growth
dc.subject.odspa08 Trabajo decente y crecimiento económico
dc.titleEstimation of seasonal fractionally integrated processes
dc.typeartículo
dc.volumen50
sipa.codpersvinculados100091
sipa.indexWOS
sipa.indexScopus
sipa.trazabilidadCarga SIPA;09-01-2024
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