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The CSS and the two-staged methods for parameter estimation in SARFIMA models

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The CSS and the two-staged methods for parameter estimation in SARFIMA models. / Egrioglu, Erol; Aladag, Cagdas Hakan; Kadilar, Cem.
In: Journal of Probability and Statistics, Vol. 2011, 691058, 01.12.2011.

Research output: Contribution to Journal/Magazine › Review article › peer-review

Harvard

Egrioglu, E, Aladag, CH & Kadilar, C 2011, 'The CSS and the two-staged methods for parameter estimation in SARFIMA models', Journal of Probability and Statistics, vol. 2011, 691058. https://doi.org/10.1155/2011/691058

APA

Egrioglu, E., Aladag, C. H., & Kadilar, C. (2011). The CSS and the two-staged methods for parameter estimation in SARFIMA models. Journal of Probability and Statistics, 2011, Article 691058. https://doi.org/10.1155/2011/691058

Vancouver

Egrioglu E, Aladag CH, Kadilar C. The CSS and the two-staged methods for parameter estimation in SARFIMA models. Journal of Probability and Statistics. 2011 Dec 1;2011:691058. doi: 10.1155/2011/691058

Author

Egrioglu, Erol ; Aladag, Cagdas Hakan ; Kadilar, Cem. / The CSS and the two-staged methods for parameter estimation in SARFIMA models. In: Journal of Probability and Statistics. 2011 ; Vol. 2011.

Bibtex

@article{df6888f08c5e4d849d754ad61afbfbd8,
title = "The CSS and the two-staged methods for parameter estimation in SARFIMA models",
abstract = "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.",
author = "Erol Egrioglu and Aladag, {Cagdas Hakan} and Cem Kadilar",
year = "2011",
month = dec,
day = "1",
doi = "10.1155/2011/691058",
language = "English",
volume = "2011",
journal = "Journal of Probability and Statistics",
issn = "1687-952X",
publisher = "Islamic Countries Society of Statistical Sciences",

}

RIS

TY - JOUR

T1 - The CSS and the two-staged methods for parameter estimation in SARFIMA models

AU - Egrioglu, Erol

AU - Aladag, Cagdas Hakan

AU - Kadilar, Cem

PY - 2011/12/1

Y1 - 2011/12/1

N2 - 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.

AB - 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.

U2 - 10.1155/2011/691058

DO - 10.1155/2011/691058

M3 - Review article

AN - SCOPUS:84859181536

VL - 2011

JO - Journal of Probability and Statistics

JF - Journal of Probability and Statistics

SN - 1687-952X

M1 - 691058

ER -