Consistent estimation of the memory parameter for nonlinear time series

Consistent estimation of the memory parameter for nonlinear time series

For linear processes, semiparametric estimation of the memory parameter, based on the log-periodogram and local Whittle estimators, has been exhaustively examined and their properties are well established. However, except for some speci…c cases, little is known about the estimation of the memory parameter for nonlinear processes. The purpose of this paper is to provide general conditions under ...

a time-series analysis of the demand for life insurance in iran

با توجه به تجزیه و تحلیل داده ها ما دریافتیم که سطح درامد و تعداد نمایندگیها باتقاضای بیمه عمر رابطه مستقیم دارند و نرخ بهره و بار تکفل با تقاضای بیمه عمر رابطه عکس دارند

Parameter Estimation for Artfima Time Series

The ARTFIMA model applies a tempered fractional difference to the standard ARMA time series. This paper develops parameter estimation methods for the ARTFIMA model, and demonstrates a new R package. Several examples illustrate the utility of the method.

Parameter Estimation for Periodically Stationary Time Series

The innovations algorithm can be used to obtain parameter estimates for periodically stationary time series models. In this paper we compute the asymptotic distribution for these estimates in the case where the innovations have a finite fourth moment. These asymptotic results are useful to determine which model parameters are significant. In the process, we also develop asymptotics for the Yule...

Parameter Estimation for Tempered Fractional Time Series