请问!如何在SAS里进行ARFIMA和FIGARCH的估计?

shiyiming

请问各位老大? <!-- s:shock: --><img src="{SMILIES_PATH}/icon_eek.gif" alt=":shock:" title="Shocked" /><!-- s:shock: -->  <!-- s:shock: --><img src="{SMILIES_PATH}/icon_eek.gif" alt=":shock:" title="Shocked" /><!-- s:shock: --> 如何在SAS里进行ARFIMA和FIGARCH的估计?

shiyiming

请各位高手不吝指教啊! <!-- s:o --><img src="{SMILIES_PATH}/icon_surprised.gif" alt=":o" title="Surprised" /><!-- s:o -->  <!-- s:o --><img src="{SMILIES_PATH}/icon_surprised.gif" alt=":o" title="Surprised" /><!-- s:o -->  <!-- s:o --><img src="{SMILIES_PATH}/icon_surprised.gif" alt=":o" title="Surprised" /><!-- s:o -->

shiyiming

don't understand what's ARFIMA and FIGARCH, you can go to <!-- m --><a class="postlink" href="http://v8doc.sas.com/sashtml">http://v8doc.sas.com/sashtml</a><!-- m --> to search them. I tried, but can't find anything. However, you can find sth. about ARIMA or GARCH. then check whether there is the information you want.

shiyiming

thanks a lot!

shiyiming

理论上，在SAS中估计分数差分过程，可以用MODEL或NLP模块。但最大的问题在于，SAS中该用什么“符号”来表示滞后算子。
因此，不妨考虑GHP等两阶段估计方法，来估计ARFIMA和FIGARCH。

shiyiming

iml模块中有现成的函数可以估计！

shiyiming

hero老兄，是什么函数？ <!-- s:o --><img src="{SMILIES_PATH}/icon_surprised.gif" alt=":o" title="Surprised" /><!-- s:o -->