Estimation of Long-Memory Parameter in ARFIMA Models: ARMA Approximation Approach
碩士 === 國立清華大學 === 統計學研究所 === 90 === A new method for estimating long-memory parameter in ARFIMA Models is proposed based on ARMA approximation. The Kullback-Leibler discrepancy is used to find a best ARMA approximation for a FI(d) model. The performance of the new estimator is investigated and compa...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2002
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| Online Access: | http://ndltd.ncl.edu.tw/handle/47273124552412049110 |