The CSS and The Two-Staged Methods for Parameter Estimation in SARFIMA Models
Seasonal Autoregressive Fractionally Integrated Moving Average (SARFIMA) models are used in the analysis of seasonal long memory-dependent time series. Two methods, which are conditional sum of squares (CSS) and two-staged methods introduced by Hosking (1984), are proposed to estimate the parameters...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Wiley
2011-01-01
|
| Series: | Journal of Probability and Statistics |
| Online Access: | http://dx.doi.org/10.1155/2011/691058 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1832559498642849792 |
|---|---|
| author | Erol Egrioglu Cagdas Hakan Aladag Cem Kadilar |
| author_facet | Erol Egrioglu Cagdas Hakan Aladag Cem Kadilar |
| author_sort | Erol Egrioglu |
| collection | DOAJ |
| description | Seasonal Autoregressive Fractionally Integrated Moving Average (SARFIMA) models are used in the analysis of seasonal long memory-dependent time series. Two methods, which are conditional sum of squares (CSS) and two-staged methods introduced by Hosking (1984), are proposed to estimate the parameters of SARFIMA models. However, no simulation study has been conducted in the literature. Therefore, it is not known how these methods behave under different parameter settings and sample sizes in SARFIMA models. The aim of this study is to show the behavior of these methods by a simulation study. According to results of the simulation, advantages and disadvantages of both methods under different parameter settings and sample sizes are discussed by comparing the root mean square error (RMSE) obtained by the CSS and two-staged methods. As a result of the comparison, it is seen that CSS method produces better results than those obtained from the two-staged method. |
| format | Article |
| id | doaj-art-8af49376c2c64b2c9ec434a123f56f70 |
| institution | Kabale University |
| issn | 1687-952X 1687-9538 |
| language | English |
| publishDate | 2011-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Probability and Statistics |
| spelling | doaj-art-8af49376c2c64b2c9ec434a123f56f702025-02-03T01:29:59ZengWileyJournal of Probability and Statistics1687-952X1687-95382011-01-01201110.1155/2011/691058691058The CSS and The Two-Staged Methods for Parameter Estimation in SARFIMA ModelsErol Egrioglu0Cagdas Hakan Aladag1Cem Kadilar2Department of Statistics, Ondokuz Mayis University, 55139 Samsun, TurkeyDepartment of Statistics, Hacettepe University, Beytepe, 06800 Ankara, TurkeyDepartment of Statistics, Hacettepe University, Beytepe, 06800 Ankara, TurkeySeasonal Autoregressive Fractionally Integrated Moving Average (SARFIMA) models are used in the analysis of seasonal long memory-dependent time series. Two methods, which are conditional sum of squares (CSS) and two-staged methods introduced by Hosking (1984), are proposed to estimate the parameters of SARFIMA models. However, no simulation study has been conducted in the literature. Therefore, it is not known how these methods behave under different parameter settings and sample sizes in SARFIMA models. The aim of this study is to show the behavior of these methods by a simulation study. According to results of the simulation, advantages and disadvantages of both methods under different parameter settings and sample sizes are discussed by comparing the root mean square error (RMSE) obtained by the CSS and two-staged methods. As a result of the comparison, it is seen that CSS method produces better results than those obtained from the two-staged method.http://dx.doi.org/10.1155/2011/691058 |
| spellingShingle | Erol Egrioglu Cagdas Hakan Aladag Cem Kadilar The CSS and The Two-Staged Methods for Parameter Estimation in SARFIMA Models Journal of Probability and Statistics |
| title | The CSS and The Two-Staged Methods for Parameter Estimation in SARFIMA Models |
| title_full | The CSS and The Two-Staged Methods for Parameter Estimation in SARFIMA Models |
| title_fullStr | The CSS and The Two-Staged Methods for Parameter Estimation in SARFIMA Models |
| title_full_unstemmed | The CSS and The Two-Staged Methods for Parameter Estimation in SARFIMA Models |
| title_short | The CSS and The Two-Staged Methods for Parameter Estimation in SARFIMA Models |
| title_sort | css and the two staged methods for parameter estimation in sarfima models |
| url | http://dx.doi.org/10.1155/2011/691058 |
| work_keys_str_mv | AT erolegrioglu thecssandthetwostagedmethodsforparameterestimationinsarfimamodels AT cagdashakanaladag thecssandthetwostagedmethodsforparameterestimationinsarfimamodels AT cemkadilar thecssandthetwostagedmethodsforparameterestimationinsarfimamodels AT erolegrioglu cssandthetwostagedmethodsforparameterestimationinsarfimamodels AT cagdashakanaladag cssandthetwostagedmethodsforparameterestimationinsarfimamodels AT cemkadilar cssandthetwostagedmethodsforparameterestimationinsarfimamodels |