Listagem por autor "Smith, Jeremy"

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Convex combinations of long memory estimates from different sampling rates

Souza, Leonardo Rocha; Smith, Jeremy; Souza, Reinaldo Castro
2003-07-02

Convex combinations of long memory estimates using the same data observed at different sampling rates can decrease the standard deviation of the estimates, at the cost of inducing a slight bias. The convex combination of ...
Effects of temporal aggregation on estimates and forecasts of fractionally integrated processes: A Monte-Carlo study

Souza, Leonardo R.; Smith, Jeremy
2004

For a fractionally integrated ARFIMA(p, d, q) model, temporal aggregation changes the order of the process to an ARFIMA(p, d,∞), while leaving the value of d unchanged. This paper analyses the effects of temporal aggregation ...