A Class of Antipersistent Processes

DOI10.1111/J.1467-9892.2006.00509.XMaRDI QIDQ3505318zbMATH OpenOpenAlexFDO

Authors Pascal Bondon, Wilfredo Palma

Publication date 18 June 2008

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.2006.00509.x

zbMATH Keywords

FARIMA processesautoregressive expansionsmoving average parameters

Mathematics Subject Classification ID

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

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• Long-term dependence in stock returns
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Cited in

(18)

• Impulse responses of antipersistent processes
• Seasonal FIEGARCH processes
• Theoretical results on fractionally integrated exponential generalized autoregressive conditional heteroskedastic processes
• On processes with hyperbolically decaying autocorrelations
• Hyperbolic Decay Time Series
• Efficient tapered local Whittle estimation of multivariate fractional processes
• Efficiency in estimation of memory
• On continuous-time autoregressive fractionally integrated moving average processes
• Statistical challenges in microrheology
• Detection of long range dependence in the time domain for (in)finite-variance time series
• Estimation and forecasting of long memory stochastic volatility models
• The trace problem for Toeplitz matrices and operators and its impact in probability
• Novel Bayesian algorithms for ARFIMA long-memory processes: a comparison between MCMC and ABC approaches
• SYMARFIMA: a dynamical model for conditionally symmetric time series with long range dependence mean structure
• Limit theorems for Toeplitz-type quadratic functionals of stationary processes and applications
• The ARMA alphabet soup: a tour of ARMA model variants
• Minimum distance estimation of ARFIMA processes
• Memory properties of transformations of linear processes

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