Pustaka Ilmiah Universitas Padjadjaran

Abstrak

Comparison Of Differencing Parameter Estimation From Nonstationer Arfima Model By Gph Method With Cosine Tapering

This paper compares the accuracy of estimation of differencing parameter from nonstationary ARFIMA Data. For comparison purposes, the GPH (Geweke and Porter-Hudak) method is modified by three tapers, there are Cosine bell, Hanning and Hamming tapers.Accuracy among three methods are justified by Mean Square Error and Deviation Standard in two models, i.e ARFIMA(1,d,0) and ARFIMA(0,d,1). From simulation results, GPH method with Cosine Bell tapering shows a good performance in estimating the differencing parameter of ARFIMA(0,d,1) data. From ARFIMA(1,d,0) data, GPH method with Hanning tapering is the best of all methods.