A comparison of estimation methods in non-stationary ARFIMA processes (Q4673863): Difference between revisions

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+Q4865042
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+A comparison of techniques of estimation in long-memory 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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+Fractional differencing
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+Plug‐in Selection of the Number of Frequencies in Regression Estimates 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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+Q3525851
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+Invariance of the first difference in ARFIMA models
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+ESTIMATION OF THE FRACTIONAL DIFFERENCE PARAMETER IN THE ARIMA(p, d, q) MODEL USING THE SMOOTHED PERIODOGRAM
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+Some simulations and applications of forecasting long-memory time-series models
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+ESTIMATION OF PARAMETERS IN ARFIMA PROCESSES: A SIMULATION STUDY
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+Log-periodogram regression of time series with long range dependence
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+Gaussian semiparametric estimation of long range dependence
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+Comparing the bias and misspecification in ARFIMA models
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+Non-stationary log-periodogram regression
@@ Property / cites work: Non-stationary log-periodogram regression / rank @@
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+Gaussian Semiparametric Estimation of Non-stationary Time Series
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+NON-GAUSSIAN LOG-PERIODOGRAM REGRESSION
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+Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series
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