Indirect inference for fractional time series models (Q4374348): Difference between revisions

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+https://doi.org/10.1080/00949659708811857
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+W2018278987
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+Q4865042
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+Efficient parameter estimation for self-similar processes
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+Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
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+THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
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+AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
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+ON GENERALIZED FRACTIONAL PROCESSES
@@ Property / cites work: ON GENERALIZED FRACTIONAL PROCESSES / rank @@
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+Fractional differencing
@@ Property / cites work: Fractional differencing / rank @@
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+Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series
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+ASYMPTOTICS FOR THE LOW-FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG-MEMORY TIME SERIES
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+AUTOMATIC SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG-MEMORY TIME SERIES
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+ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES
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+Computer Generation of Normal Random Variables
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+A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration
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+MODELING LONG-MEMORY PROCESSES FOR OPTIMAL LONG-RANGE PREDICTION
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+Log-periodogram regression of time series with long range dependence
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+Asymptotic properties of least-squares estimates of parameters of the spectrum of a stationary non-deterministic time-series
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