ESTIMATION OF PARAMETERS IN ARFIMA PROCESSES: A SIMULATION STUDY

Abstract

It is known that, in the presence of short memory components, the estimation of the fractional parameter d in an Autoregressive Fractionally Integrated Moving Average, ARFIMA(p, d, q), process has some difficulties (see [1]). In this paper, we continue the efforts made by Smith et al. [1] and Beveridge and Oickle [2] by conducting a simulation study to evaluate the convergence properties of the iterative estimation procedure suggested by Hosking [3]. In this context we consider some semiparametric approaches and a parametric method proposed by Fox-Taqqu[4]. We also investigate the method proposed by Robinson [5] and a modification using the smoothed periodogram function.