期刊名称：Brazilian Journal of Probability and Statistics
印刷版ISSN：0103-0752
出版年度：2000
卷号：14
期号：2
页码：185-206
出版社：Brazilian Statistical Association
摘要：In this paper we consider the estimation of the fractional parameter d and the autoregressive and moving average parameters of an ARFIMA(p, d, q) process with d 2 (0.0, 0.5). A recent study related to this is found in Smith et al (1997). We follow the efforts made by these authors considering different methods of estimating the parameter d which is estimated from the semiparametric and parametric approaches and also, different samples sizes. The methodology presented here is applied to two sets of data: the Nile River minima and the annual rainfall at Fortaleza - Brazil.
关键词：Fractional differencing; long memory; periodogram; smoothed regression.
