Iterative plug-in algorithms for SEMIFAR models - definition, convergence and asymptotic properties

Jan Beran and Yuanhua Feng

No 01/11, CoFE Discussion Papers from University of Konstanz, Center of Finance and Econometrics (CoFE)

Abstract: In this paper data-driven algorithms for fitting SEMIFAR models (Beran, 1999) are proposed. The algorithms combine the data-driven estimation of the nonparamet- ric trend and maximum likelihood estimation of the parameters. Convergence and asymptotic properties of the proposed algorithms are investigated. A large simulation study illustrates the practical performance of the methods.

Keywords: semiparametric models; long-range dependence; fractional ARIMA; antipersistence; nonparametric regression; bandwidth selection (search for similar items in EconPapers)
Date: 2001
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:cofedp:0111

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