Estimation of long-memory parameters for seasonal fractional ARIMA with stable innovations |
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| Authors: | Mor Ndongo Abdou Kâ Diongue Aliou Diop Simplice Dossou-Gbété |
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| Institution: | 1. Laboratoire d’Etudes et de Recherches en Statistiques et Développement (LERSTAD), UFR de sciences Appliquées et de Technologies, B.P 234, Université Gaston Berger, Saint-Louis, Sénégal;2. Laboratoire de Mathématiques et leurs Applications (LMA) UMR CNRS 5142, B.P 576, Université de Pau et des Pays de l’Adour, France |
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| Abstract: | We carry out finite sample size parameter estimation methods for long-memory parameters of the class of seasonal fractional ARIMA with stable innovations. In particular, we consider the semiparametric method studied in Reisen et al. (2006) 27] and two Whittle approaches: the classical Whittle method and a method based on a Markov Chains Monte Carlo (MCMC) procedure. The performance of the methods is discussed using a Monte Carlo simulation. |
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