Regularised estimators for ARFIMA processes
Allbwn ymchwil: Cyfraniad at gyfnodolyn › Erthygl › adolygiad gan gymheiriaid
Fersiynau electronig
Dangosydd eitem ddigidol (DOI)
Stochastic processes with long-range dependence are found in many applications. ARFIMA models can be used to characterise both their short-term correlations and the phenomenon of long-range dependence. Maximum likelihood estimates of the model parameters have nice statistical properties but are ill-conditioned and hard to compute. Whittle's approximation has the same asymptotic properties and yet is easier to compute. We propose a regularisation of Whittle's approximation that overcomes the problem of ill-conditioning. Good results are demonstrated in numerical simulations
| Iaith wreiddiol | Anadnabyddus |
|---|---|
| Tudalennau (o-i) | 298-303 |
| Nifer y tudalennau | 6 |
| Cyfnodolyn | IFAC Proceedings Volumes (IFAC-PapersOnline) |
| Cyfrol | 45 |
| Rhif y cyfnodolyn | 16 |
| Dyddiad ar-lein cynnar | 17 Gorff 2012 |
| Dynodwyr Gwrthrych Digidol (DOIs) | |
| Statws | Cyhoeddwyd - 21 Ebr 2016 |
| Cyhoeddwyd yn allanol | Ie |