Article ID Journal Published Year Pages File Type
977030 Physica A: Statistical Mechanics and its Applications 2007 17 Pages PDF
Abstract

This paper deals with different bootstrap approaches and bootstrap confidence intervals in the fractionally autoregressive moving average (ARFIMA(p,d,q))(ARFIMA(p,d,q)) process [J. Hosking, Fractional differencing, Biometrika 68(1) (1981) 165–175] using parametric and semi-parametric estimation techniques for the memory parameter d. The bootstrap procedures considered are: the classical bootstrap in the residuals of the fitted model [B. Efron, R. Tibshirani, An Introduction to the Bootstrap, Chapman and Hall, New York, 1993], the bootstrap in the spectral density function [E. Paparoditis, D.N Politis, The local bootstrap for periodogram statistics. J. Time Ser. Anal. 20(2) (1999) 193–222], the bootstrap in the residuals resulting from the regression equation of the semi-parametric estimators [G.C Franco, V.A Reisen, Bootstrap techniques in semiparametric estimation methods for ARFIMA models: a comparison study, Comput. Statist. 19 (2004) 243–259] and the Sieve bootstrap [P. Bühlmann, Sieve bootstrap for time series, Bernoulli 3 (1997) 123–148]. The performance of these procedures and confidence intervals for d in the stationary and non-stationary ranges are empirically obtained through Monte Carlo experiments. The bootstrap confidence intervals here proposed are alternative procedures with some accuracy to obtain confidence intervals for d.

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Physical Sciences and Engineering Mathematics Mathematical Physics
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