Estimation of parameters of autoregressive models with fractional differences in the presence of additive noise

For modeling in time series, models with fractional differences are widely used. The best known model is the ARFIMA (autoregressive fractionally integrated moving average) model. It is known that for integer-order autoregressive models, autoregressive models with additive noise can outperform ARMA a...

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Autor principal:	Dmitriy V. Ivanov
Format:	Artigo
Idioma:	Inglês
Publicat:	Samara National Research University 2023-10-01
Col·lecció:	Вестник Самарского университета: Естественнонаучная серия
Matèries:	fractional difference autoregressive model total least squares additive noise unknown ratio of variances generalized instrumental variables long run memory
Accés en línia:	https://journals.ssau.ru/est/article/viewFile/27075/10253
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