Local bootstrap approaches for fractional differential parameter estimation in ARFIMA models

Authors:
E. M. Silva;G. C. Franco;V. A. Reisen;F. R. B. Cruz
Affiliations:
Federal University of Tocantins, 77020-210 Palmas TO, Brazil;Department of Statistics, Federal University of Minas Gerais, 31270-901 Belo Horizonte MG, Brazil;Department of Statistics, Federal University of Espirito Santo, 29070-900 Vitória ES, Brazil;Department of Statistics, Federal University of Minas Gerais, 31270-901 Belo Horizonte MG, Brazil
Venue:
Computational Statistics & Data Analysis
Year:
2006

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Abstract

In this paper we investigate bootstrap techniques applied to the estimation of the fractional differential parameter in ARFIMA models, d. The novelty is the focus on the local bootstrap of the periodogram function. The approach is then applied to three different semiparametric estimators of d, known from the literature, based upon the periodogram function. By means of an extensive set of simulation experiments, the bias and mean square errors are quantified for each estimator and the efficacy of the local bootstrap is stated in terms of low bias, short confidence intervals, and low CPU times. Finally, a real data set is analyzed to demonstrate that the methodology may be quite effective in solving real problems.