The CSS and The Two-Staged Methods for Parameter Estimation in SARFIMA Models
Joint Authors
Kadilar, Cem
Aladag, Cagdas Hakan
Eğrioğlu, Erol
Source
Journal of Probability and Statistics
Issue
Vol. 2011, Issue 2011 (31 Dec. 2011), pp.1-11, 11 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2011-08-14
Country of Publication
Egypt
No. of Pages
11
Main Subjects
Abstract EN
Seasonal Autoregressive Fractionally Integrated Moving Average (SARFIMA) models are used in the analysis of seasonal long memory-dependent time series.
Two methods, which are conditional sum of squares (CSS) and two-staged methods introduced by Hosking (1984), are proposed to estimate the parameters of SARFIMA models.
However, no simulation study has been conducted in the literature.
Therefore, it is not known how these methods behave under different parameter settings and sample sizes in SARFIMA models.
The aim of this study is to show the behavior of these methods by a simulation study.
According to results of the simulation, advantages and disadvantages of both methods under different parameter settings and sample sizes are discussed by comparing the root mean square error (RMSE) obtained by the CSS and two-staged methods.
As a result of the comparison, it is seen that CSS method produces better results than those obtained from the two-staged method.
American Psychological Association (APA)
Eğrioğlu, Erol& Aladag, Cagdas Hakan& Kadilar, Cem. 2011. The CSS and The Two-Staged Methods for Parameter Estimation in SARFIMA Models. Journal of Probability and Statistics،Vol. 2011, no. 2011, pp.1-11.
https://search.emarefa.net/detail/BIM-490883
Modern Language Association (MLA)
Eğrioğlu, Erol…[et al.]. The CSS and The Two-Staged Methods for Parameter Estimation in SARFIMA Models. Journal of Probability and Statistics No. 2011 (2011), pp.1-11.
https://search.emarefa.net/detail/BIM-490883
American Medical Association (AMA)
Eğrioğlu, Erol& Aladag, Cagdas Hakan& Kadilar, Cem. The CSS and The Two-Staged Methods for Parameter Estimation in SARFIMA Models. Journal of Probability and Statistics. 2011. Vol. 2011, no. 2011, pp.1-11.
https://search.emarefa.net/detail/BIM-490883
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-490883