Small sample properties of frequency domain estimators for the fractional model

Wilkins, NP

Small sample properties of frequency domain estimators for the fractional model

Wilkins, NP

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Publisher:: Marcel Dekker Inc
Publication Type:: Journal Article
Citation:: Communications In Statistics-Simulation And Computation, 2005, 34 (1), pp. 57 - 72
Issue Date:: 2005-01

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Field	Value	Language
dc.contributor.author	Wilkins, NP	en_US
dc.date.issued	2005-01	en_US
dc.identifier.citation	Communications In Statistics-Simulation And Computation, 2005, 34 (1), pp. 57 - 72	en_US
dc.identifier.issn	0361-0918	en_US
dc.identifier.uri	http://hdl.handle.net/10453/3403
dc.description.abstract	This article proposes a number of frequency domain estimation procedures for the ARFIMA model based on a spectral generalized method of moments, (SGMM) estimator. It is shown that the SGMM estimator includes as special cases; the GPH regression estimator	en_US
dc.publisher	Marcel Dekker Inc	en_US
dc.relation.ispartof	Communications In Statistics-Simulation And Computation	en_US
dc.relation.isbasedon	10.1081/SAC-200047081	en_US
dc.subject.classification	Statistics & Probability	en_US
dc.title	Small sample properties of frequency domain estimators for the fractional model	en_US
dc.type	Journal Article
utslib.citation.volume	1	en_US
utslib.citation.volume	34	en_US
utslib.for	0102 Applied Mathematics	en_US
utslib.for	01 Mathematical Sciences	en_US
utslib.for	08 Information and Computing Sciences	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
utslib.copyright.status	closed_access
pubs.consider-herdc	true	en_US
pubs.issue	1	en_US
pubs.volume	34	en_US

Abstract:

This article proposes a number of frequency domain estimation procedures for the ARFIMA model based on a spectral generalized method of moments, (SGMM) estimator. It is shown that the SGMM estimator includes as special cases; the GPH regression estimator

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http://hdl.handle.net/10453/3403