In this article we present a semi-parametric procedure for the decomposition of an ARFIMA model in unobserved components. The procedure relies on the DECOMEL method and yields a statistical decomposition by minimizing the Euclidean distance between the spectrum of the observed time series and the sum of the parametric spectra of the components. In particular, the paper discusses some computational issues which arise in the practical implementation of the decomposition procedure.

Fractional time series decomposition: some computational issues

CORDUAS, MARCELLA;PICCOLO, DOMENICO
2006

Abstract

In this article we present a semi-parametric procedure for the decomposition of an ARFIMA model in unobserved components. The procedure relies on the DECOMEL method and yields a statistical decomposition by minimizing the Euclidean distance between the spectrum of the observed time series and the sum of the parametric spectra of the components. In particular, the paper discusses some computational issues which arise in the practical implementation of the decomposition procedure.
File in questo prodotto:
Non ci sono file associati a questo prodotto.

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11588/205872
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus ND
  • ???jsp.display-item.citation.isi??? ND
social impact