Type I and type II fractional Brownian motions: a reconsideration

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Type I and type II fractional Brownian motions: a reconsideration

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dc.contributor.author Davidson, James en_GB
dc.contributor.author Hashimzade, Nigar en_GB
dc.contributor.department University of Exeter; Hashimzade now at University of Reading en_GB
dc.date.accessioned 2009-01-27T16:46:56Z en_GB
dc.date.accessioned 2011-01-25T10:25:36Z en_US
dc.date.accessioned 2013-03-19T15:56:16Z
dc.date.issued 2009-01-27T16:46:56Z en_GB
dc.description.abstract The so-called type I and type II fractional Brownian motions are limit distributions associated with the fractional integration model in which pre-sample shocks are either included in the lag structure, or suppressed. There can be substantial differences between the distributions of these two processes and of functionals derived from them, so that it becomes an important issue to decide which model to use as a basis for inference. Alternative methods for simulating the type I case are contrasted, and for models close to the nonstationarity boundary, truncating infinite sums is shown to result in a significant distortion of the distribution. A simple simulation method that overcomes this problem is described and implemented. The approach also has implications for the estimation of type I ARFIMA models, and a new conditional ML estimator is proposed, using the annual Nile minima series for illustration. en_GB
dc.identifier.doi doi:10.1016/j.csda.2008.11.008 en_GB
dc.identifier.uri http://hdl.handle.net/10036/48077 en_GB
dc.language.iso en en_GB
dc.publisher Elsevier en_GB
dc.relation.ispartofseries Discussion Papers in Economics en_GB
dc.relation.ispartofseries 08/16 en_GB
dc.relation.url http://www.sciencedirect.com/science/journal/01679473 en_GB
dc.subject fractional Brownian motions en_GB
dc.subject long memory en_GB
dc.subject simulation en_GB
dc.subject ARFIMA en_GB
dc.title Type I and type II fractional Brownian motions: a reconsideration en_GB
dc.type Article en_GB
dc.type Working Paper en_GB
dc.date.available 2009-01-27T16:46:56Z en_GB
dc.date.available 2011-01-25T10:25:36Z en_US
dc.date.available 2013-03-19T15:56:16Z
dc.description Authors' draft published as Discussion paper en_GB
dc.identifier.journal Computational Statistics & Data Analysis en_GB


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