Parameter estimation in low order fractionally differenced ARMA processes

DOI10.1007/BF01544075zbMath0687.62079MaRDI QIDQ1263210

K. Appert

Publication date: 1989

Published in: Stochastic Hydrology and Hydraulics (Search for Journal in Brave)

zbMATH Keywords

long memoryspectral densityapproximate maximum likelihood estimatorsregression type estimatorsARIMA (0,d,0) processesARIMA (1,d,1) processesfractionally differenced ARMA (p,q) process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Monte Carlo methods (65C05)

Related Items (11)

MODELING LONG-MEMORY PROCESSES FOR OPTIMAL LONG-RANGE PREDICTION ⋮ Long memory processes and fractional integration in econometrics ⋮ On the effect of seasonal adjustment on the log-periodogram regression ⋮ Estimators for the long-memory parameter in LARCH models, and fractional Brownian motion ⋮ Fitting a fractional ARIMA model to time series data ⋮ An alternative maximum likelihood estimator of long-memory processes using compactly supported wavelets ⋮ A looser cointegration concept using fractional integration parameters and quantification of market responsiveness ⋮ Indirect estimation of ARFIMA and VARFIMA models ⋮ Maximum likelihood estimators for ARMA and ARFIMA models: a Monte Carlo study. ⋮ Estimation in long memory time series models ⋮ Time Domain Estimation of Long Range Dependence

Cites Work

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• On the estimation of the parameters of a power spectrum
• Time series: theory and methods
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• ON ESTIMATION OF LONG-MEMORY TIME SERIES MODELS
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING

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