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Computational Statistics

, Volume 19, Issue 2, pp 243–259 | Cite as

Bootstrap techniques in semiparametric estimation methods for ARFIMA models: A comparison study

  • Glaura C. Franco
  • Valderio A. Reisen
Article

Summary

This paper considers different bootstrap procedures for investigating the estimation of the fractional parameter d in a particular case of long memory processes, i.e. for ARFIMA models withd in (0.0, 0.5). We propose two bootstrap techniques to deal with semiparametric estimation methods of d. One approach consists of the local bootstrap method for time frequency initially suggested for the ARMA case by Paparoditis and Politis (1999), and the other consists of the bootstrapping in the residuals of the frequency-domain regression equation. Through Monte Carlo simulation, these alternative bootstrap methods are compared, based on the mean and the mean square error of the estimators, with the well-known parametric and nonparametric bootstrap techniques for time series models.

Keywords

Semiparametric procedures Fractionally integrated ARMA process Bootstrap in the residuals Local bootstrap Regression bootstrap 

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Copyright information

© Physica-Verlag 2004

Authors and Affiliations

  1. 1.Department of StatisticsUFMGBelo Horizonte, MGBrazil
  2. 2.Department of StatisticsCCEGoiabeirasUFES/Brazil

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