STOCHASTIC ORDERS OF MAGNITUDE ASSOCIATED WITH TWO‐STAGE ESTIMATORS OF FRACTIONAL ARIMA SYSTEMS
作者:
J. H. Wright,
期刊:
Journal of Time Series Analysis
(WILEY Available online 1995)
卷期:
Volume 16,
issue 1
页码: 119-125
ISSN:0143-9782
年代: 1995
DOI:10.1111/j.1467-9892.1995.tb00225.x
出版商: Blackwell Publishing Ltd
关键词: Fractional ARIMA processes;semi‐parametric estimators;spectral analysis;long‐memory models
数据来源: WILEY
摘要:
Abstract.Two‐stage estimators have been proposed in fractional autoregressive integrated moving‐average (ARIMA) systems which first estimate the long‐run features of the system semi‐parametrically and then estimate the short‐run features by usual methods in a second stage. Although asymptotic theory is available for the estimates in the first stage of such a procedure, we are aware of no results concerning the estimates in the second stage. In this paper we provide a stochastic order of magnitude associated with an estimator in this class and discuss th
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