Estimating a generalized long memory process

DOI10.1016/0304-4076(95)01739-9zbMath0854.62083MaRDI QIDQ1922365

Ching-Fan Chung

Publication date: 19 January 1997

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(95)01739-9

zbMATH Keywords

fractionally integrated process; Gegenbauer process; conditional sum of squares estimation; CSS estimation; functional of Brownian motions; two-parameter long memory process; unit-root limiting distribution

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

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