S. B. Hariz, A. Brouste, Youssef Esstafa, M. Soltane
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引用次数: 1
Abstract
In this paper, we investigate the asymptotic properties of Le Cam's one-step estimator for weak Fractionally AutoRegressive Integrated Moving-Average (FARIMA) models. For these models, noises are uncorrelated but neither necessarily independent nor martingale differences errors. We show under some regularity assumptions that the one-step estimator is strongly consistent and asymptotically normal with the same asymptotic variance as the least squares estimator. We show through simulations that the proposed estimator reduces computational time compared with the least squares estimator. An application for providing remotely computed indicators for time series is proposed.
期刊介绍：
The journal publishes original research and survey papers in the area of Probability and Statistics. It covers theoretical and practical aspects, in any field of these domains.
Of particular interest are methodological developments with application in other scientific areas, for example Biology and Genetics, Information Theory, Finance, Bioinformatics, Random structures and Random graphs, Econometrics, Physics.
Long papers are very welcome.
Indeed, we intend to develop the journal in the direction of applications and to open it to various fields where random mathematical modelling is important. In particular we will call (survey) papers in these areas, in order to make the random community aware of important problems of both theoretical and practical interest. We all know that many recent fascinating developments in Probability and Statistics are coming from "the outside" and we think that ESAIM: P&S should be a good entry point for such exchanges. Of course this does not mean that the journal will be only devoted to practical aspects.
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