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

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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Bibliographic Details
Main Author: Dmitriy V. Ivanov
Format: Article
Language:English
Published: Samara National Research University 2023-10-01
Series:Вестник Самарского университета: Естественнонаучная серия
Subjects:
fractional difference
autoregressive model
total least squares
additive noise
unknown ratio of variances
generalized instrumental variables
long run memory
Online Access:https://journals.ssau.ru/est/article/viewFile/27075/10253
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