THE INFLUENCE OF THE SAMPLING INTERVAL IN THE LONG MEMORY ESTIMATION IN TIME SERIES / INFLUENCIA DEL INTERVALO DE OBSERVACIÓN EN LA ESTIMACIÓN DE LA MEMORIA PROLONGADA / INFLUÊNCIA DO INTERVALO DE OBSERVAÇÃO NA ESTIMAÇÃO DA MEMÓRIA LONGA
AUTOR(ES)
LEONARDO ROCHA SOUZA
DATA DE PUBLICAÇÃO
2001
RESUMO
This thesis investigates the relationship between the estimation of the fractional integration, as a measure of long memory, and the time interval between observations of a time series. In theory, the fractional integration is invariant to the frequency of observation. However, skip- sampling induces a considerable bias in the estimation, as shown by Monte Carlo simulations. The aliasing effect explains the bias and suggests formulas for it, which yield results very close to the simulated ones. On the other hand, temporal aggregation does not induce relevant bias to the long memory estimation. In addition, a combination of estimates from the same data sampled at different rates is proposed, achieving in some cases reduction of 30% in the root mean squared estimation error.
ASSUNTO(S)
memoria larga tasa de muestreo sampling rate time series modelos arfima memoria longa taxa de amostragem series de tiempo arfima models long memory modelos arfima series temporais
ACESSO AO ARTIGO
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