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Efficient Estimation of Seasonal Long-Range-Dependent Processes

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  • Wilfredo Palma
  • Ngai Hang Chan

Abstract

This paper studies asymptotic properties of the exact maximum likelihood estimates (MLE) for a general class of Gaussian seasonal long-range-dependent processes. This class includes the commonly used Gegenbauer and seasonal autoregressive fractionally integrated moving average processes. By means of an approximation of the spectral density, the exact MLE of this class are shown to be consistent, asymptotically normal and efficient. Finite sample performance of these estimates is examined by Monte Carlo simulations and it is shown that the estimates behave very well even for moderate sample sizes. The estimation methodology is illustrated by a real-life Internet traffic example. Copyright 2005 Blackwell Publishing Ltd.

Suggested Citation

  • Wilfredo Palma & Ngai Hang Chan, 2005. "Efficient Estimation of Seasonal Long-Range-Dependent Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(6), pages 863-892, November.
  • Handle: RePEc:bla:jtsera:v:26:y:2005:i:6:p:863-892
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    Cited by:

    1. Laurent Ferrara & Dominique Guégan, 2008. "Business surveys modelling with Seasonal-Cyclical Long Memory models," Economics Bulletin, AccessEcon, vol. 3(29), pages 1-10.
    2. Reisen, Valdério A. & Zamprogno, Bartolomeu & Palma, Wilfredo & Arteche, Josu, 2014. "A semiparametric approach to estimate two seasonal fractional parameters in the SARFIMA model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 98(C), pages 1-17.
    3. repec:eee:matcom:v:146:y:2018:i:c:p:27-43 is not listed on IDEAS
    4. Henghsiu Tsai & Heiko Rachinger & Edward M.H. Lin, 2015. "Inference of Seasonal Long-memory Time Series with Measurement Error," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 42(1), pages 137-154, March.
    5. repec:ebl:ecbull:v:3:y:2008:i:29:p:1-10 is not listed on IDEAS

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