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Iterative plug-in algorithms for SEMIFAR models - definition, convergence and asymptotic properties

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Author Info
Jan Beran () (Department of Mathematics and Statistics, University of Konstanz)
Yuanhua.Feng () (Department of Mathematics and Statistics, University of Konstanz)

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Abstract

In this paper data-driven algorithms for fitting SEMIFAR models (Beran, 1999) are proposed. The algorithms combine the data-driven estimation of the nonparamet- ric trend and maximum likelihood estimation of the parameters. Convergence and asymptotic properties of the proposed algorithms are investigated. A large simulation study illustrates the practical performance of the methods.

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File URL: http://cofe.uni-konstanz.de/Papers/dp01_11.pdf
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Publisher Info
Paper provided by Center of Finance and Econometrics, University of Konstanz in its series CoFE Discussion Paper with number 01-11.

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Length: 14 pages
Date of creation: Nov 2001
Date of revision:
Handle: RePEc:knz:cofedp:0111

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Related research
Keywords: semiparametric models; long-range dependence; fractional ARIMA; antipersistence; nonparametric regression; bandwidth selection;

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This paper has been announced in the following NEP Reports: References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Jan Beran & Dirk Ocker, 1999. "SEMIFAR Forecasts, with Applications to Foreign Exchange Rates," CoFE Discussion Paper 99-13, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
  2. Jan Beran, 1999. "SEMIFAR Models - A Semiparametric Framework for Modelling Trends, Long Range Dependence and Nonstationarity," CoFE Discussion Paper 99-16, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
  3. Jan Beran & Yuanhua Feng, 2000. "Data-driven estimation of semiparametric fractional autoregressive models," CoFE Discussion Paper 00-16, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
  4. Jan Beran & Yuanhua Feng, 2002. "Local Polynomial Fitting with Long-Memory, Short-Memory and Antipersistent Errors," Annals of the Institute of Statistical Mathematics, Springer, vol. 54(2), pages 291-311, June. [Downloadable!] (restricted)
  5. Jan Beran & Dirk Ocker, 1999. "Volatility of Stock Market Indices - An Analysis based on SEMIFAR Models," CoFE Discussion Paper 99-14, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Yuanhua Feng, 2003. "Kernel Dependent Functions in Nonparametric Regression with Fractional Time Series Errors kernel dependent function, bandwidth selection," CoFE Discussion Paper 03-02, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
  2. Jan Beran, 2007. "On parameter estimation for locally stationary long-memory processes," CoFE Discussion Paper 07-13, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
  3. Yuanhua Feng, 2002. "An Iterative Plug-In Algorithm for Nonparametric Modelling of Seasonal Time Series," CoFE Discussion Paper 02-04, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
  4. Yuanhua Feng & Jan Beran & Keming Yu, 2007. "Modelling financial time series with SEMIFAR-GARCH model," CoFE Discussion Paper 07-14, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
    Other versions:
  5. Jan Beran & Yuanhua.Feng, 2002. "Recent Developments in Non- and Semiparametric Regression with Fractional Time Series Errors," CoFE Discussion Paper 02-13, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
  6. Yuanhua Feng, 2002. "Simultaneously Modelling Conditional Heteroskedasticity and Scale Change," CoFE Discussion Paper 02-12, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
    Other versions:
  7. Jan Beran & Yuanhua.Feng, 2001. "Supplement to the Paper "Interative plug-in algorithms for SEMIFAR models - definition, convergence and asymptotic properties": Detailed Simulation Results," CoFE Discussion Paper 01-12, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
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