Os modelos ARFIMA caracterizam-se por sua longa dependência e por possuírem o parâmetro d do modelo ARIMA (grau de diferenciação) assumindo valores fracionários. Quando no caso d Î (-0,5; 0,5), há estacionariedade. A longa dependência aparece quando d é positivo. Este trabalho visa testar e comparar duas metodologias para o processo de estimação de d, baseadas na função Periodograma e na função Periodograma Suavizado. Através de séries sintéticas geradas para este fim, foram realizadas simulações em quatro diferentes estruturas ARFIMA, a saber : (0,d,0), (1,d,0), (0,d,1), (1,d,1) para três possíveis valores de d, (0,0; 0,10; 0,25 e 0,40).
ARFIMA models are characterized by both their long-range dependence and fractional values for the ARIMA model differencing parameter. Stationarity is achieved for d Î (-0.5, 0.5) and the long memory appears whether d is positive. This work tests and compares two methodologies for the differencing parameter estimation based on, respectively, Periodogram and Smoothed Periodogram functions. Through synthetic series generated to this purpose, simulations were ran to four different ARFIMA structures: (0,d,0), (1,d,0), (0,d,1), (1,d,1) and three values of d (0,0; 0,10; 0,25 and 0,40)
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