[1]邵 祥,杜秀丽.在ARFIMA模型中使用小波的另一种极大似然估计[J].南京师大学报(自然科学版),2010,33(01):16-21.
　Shao Xiang,Du Xiuli.Another Maximum Likelihood Estimator in an ARFIMA Model Using Wavelets[J].Journal of Nanjing Normal University(Natural Science Edition),2010,33(01):16-21.
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在ARFIMA模型中使用小波的另一种极大似然估计()
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《南京师大学报（自然科学版）》[ISSN:1001-4616/CN:32-1239/N]

卷:
第33卷
期数:
2010年01期
页码:
16-21
栏目:
数学
出版日期:
2010-03-20

文章信息/Info

Title:
Another Maximum Likelihood Estimator in an ARFIMA Model Using Wavelets
作者:
邵 祥1;  杜秀丽2
1. 南京邮电大学通达学院, 江苏南京210003 2. 南京师范大学数学科学学院, 江苏南京210046
Author(s):
Shao Xiang1; Du Xiuli2
1.College of Tongda,Nanjing University of Posts and Telecommunications,Nanjing 210003,China 2. School of Mathem atical Sciences, Nan jing Normal Univers ity, Nan jing 210046, China
关键词:
ARFIMA 模型;  离散小波变换( DWT) ;  相合性;  渐近正态性
Keywords:
m ode; l disc rete w avelet transform ( DWT);  consistency;  asym ptotic normality
分类号:
O212.1
摘要:
用小波变换方法提出ARFIMA(p,d,q)模型中分形差分参数d的另一种极大似然估计(MLE).这种极大似然估计被证明是相合的和渐近正态的.仿真结果显示这种极大似然估计偏差较小,并且与Tse的估计值相比较有更小的根均方误差(RMSE),该方法估计长记忆时间序列是有效的.
Abstract:
Th is paper presents ano the rmax im um like lihood estim ator(MLE) o f the fractional differenc ing param eter d in an ARFIMA( p, d, q ) m ode l usingw ave lets transform. TheMLE is prov ed to be consist and asympto tic norm a .l The simu lation resu lts show th isM LE has low b ias and has low er root m ean square error( RMSE ) than the estima tor o fTse. Th is m ethod m ay be use fu l in estim ating long- memory time series.

参考文献/References:

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备注/Memo

备注/Memo:
通讯联系人: 邵 祥, 助教, 研究方向: 时间序列分析. E-mail:tdshxi@njupt.edu.cn
更新日期/Last Update: 2013-04-08