Bias in the sample autocorrelations of fractional noise

DOI10.1093/BIOMET/80.3.698zbMath0800.62519OpenAlexW1985546569MaRDI QIDQ4280039

Christos Agiakloglou, Paul Newbold

Publication date: 7 March 1994

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/80.3.698

Mathematics Subject Classification ID

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

Related Items (14)

A New Test for Short Memory in Long Memory Time Series ⋮ GENERALISED LEAST SQUARES (GLS) ESTIMATION OF THE DIFFERENCE PARAMETER IN LONG MEMORY (ARFIMA) PROCESSES ⋮ Bayesian analysis of long memory and persistence using ARFIMA models ⋮ Bias Correction of Persistence Measures in Fractionally Integrated Models ⋮ Sample autocorrelations of nonstationary fractionally integrated series ⋮ Long memory processes and fractional integration in econometrics ⋮ Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series ⋮ A small sample confidence interval for autoregressive parameters ⋮ Variance bound of ACF estimation of one block of fGn with LRD ⋮ Stochastic differential equations with a fractionally filtered delay: a semimartingale model for long-range dependent processes ⋮ Indirect estimation of ARFIMA and VARFIMA models ⋮ First-order bias correction for fractionally integrated time series ⋮ BIAS-REDUCED LOG-PERIODOGRAM AND WHITTLE ESTIMATION OF THE LONG-MEMORY PARAMETER WITHOUT VARIANCE INFLATION ⋮ Maximum likelihood estimators for ARMA and ARFIMA models: a Monte Carlo study.

This page was built for publication: Bias in the sample autocorrelations of fractional noise