Estimating FARIMA models with uncorrelated but non-independent error terms (Q2243555): Difference between revisions

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English	Estimating FARIMA models with uncorrelated but non-independent error terms	scientific article

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scholarly article

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Estimating FARIMA models with uncorrelated but non-independent error terms (English)

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Yacouba Boubacar Maïnassara

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Youssef Esstafa

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Bruno Saussereau

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Statistical Inference for Stochastic Processes

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publication date

11 November 2021

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full work available at URL

https://arxiv.org/abs/1910.07213

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zbMATH Keywords

nonlinear processes

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FARIMA models

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least-squares estimator

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consistency

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asymptotic normality

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spectral density estimation

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self-normalization

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cumulants

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describes a project that uses

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MaRDI profile type

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COUNT AND DURATION TIME SERIES WITH EQUAL CONDITIONAL STOCHASTIC AND MEAN ORDERS

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On an explicit formula in linear least squares prediction

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Long-Memory Processes

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Consistent autoregressive spectral estimates

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Selection of weak VARMA models by modified Akaike's information criteria

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Computing and estimating information matrices of weak ARMA models

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Estimating structural VARMA models with uncorrelated but non-independent error terms

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Modified Schwarz and Hannan-Quinn information criteria for weak VARMA models

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Diagnostic Checking in Multivariate ARMA Models With Dependent Errors Using Normalized Residual Autocorrelations

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Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form

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Weighted least squares estimators on the frequency domain for the parameters of a time series

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Efficient parameter estimation for self-similar processes

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Applications of distance correlation to time series

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Testing the Martingale Difference Hypothesis

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Testing the martingale difference hypothesis using integrated regression functions

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Nonlinear time series. Nonparametric and parametric methods

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Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series

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Diagnostic Checking in ARMA Models With Uncorrelated Errors

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Estimating linear representations of nonlinear processes

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HAC estimation and strong linearity testing in weak ARMA models

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A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate

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AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING

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Local asymptotic normality for regression models with long-memory disturbance

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A functional central limit theorem for weakly dependent sequences of random variables

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Fractional differencing

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Gaussian pseudo-maximum likelihood estimation of fractional time series models

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Limiting behavior of functionals of higher-order sample cumulant spectra

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On conditional least squares estimation for stochastic processes

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Robust<i>M</i>Tests Without Consistent Estimation of the Asymptotic Covariance Matrix

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Adaptive Estimators and Tests of Stationary and Nonstationary Short- and Long-Memory ARFIMA–GARCH Models

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On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity

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Testing That a Dependent Process Is Uncorrelated

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Uniform Convergence in Probability and Stochastic Equicontinuity

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Asymptotics for the Conditional‐Sum‐of‐Squares Estimator in Multivariate Fractional Time‐Series Models

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Long‐Memory Time Series

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Inference For Autocorrelations Under Weak Assumptions

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Corrigendum: A Self-Normalized Approach to Confidence Interval Construction in Time Series

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NONSTATIONARITY-EXTENDED WHITTLE ESTIMATION

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A Self-Normalized Approach to Confidence Interval Construction in Time Series

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TESTING FOR WHITE NOISE UNDER UNKNOWN DEPENDENCE AND ITS APPLICATIONS TO DIAGNOSTIC CHECKING FOR TIME SERIES MODELS

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Parametric Inference in Stationary Time Series Models with Dependent Errors

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Self-Normalization for Time Series: A Review of Recent Developments

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Measuring and testing dependence by correlation of distances

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On estimation of the integrals of the fourth order cumulant spectral density

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Robustness of whittle-type estimators for time series with long-range dependence

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Estimation and information in stationary time series

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A bootstrapped spectral test for adequacy in weak ARMA models

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Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1007/S11203-021-09243-7

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Sitelinks

Mathematics(1 entry)

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