A k-Factor GARMA Long-memory Model

DOI10.1111/J.1467-9892.1998.00105.XMaRDI QIDQ4216182zbMATH OpenOpenAlexFDO

Authors Wayne A. Woodward, Q. C. Cheng, Henry L. Gray

Publication date 24 August 2003

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.1998.00105.x

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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Cited in

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• Orthogonal polynomials with respect to a class of Fisher-Hartwig symbols and inverse of Toeplitz matrices
• A new time domain estimation of k-factors GARMA processes
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• On 1/f noise
• A general frequency domain estimation method for Gegenbauer processes
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• A harmonically weighted filter for cyclical long memory processes
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• Cointegrated dynamics for a generalized long memory process: application to interest rates
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• Wavelet shrinkage of a noisy dynamical system with non-linear noise impact
• Spectral density and spectral distribution inference for long memory time series via fixed-b asymptotics
• Misspecification tests for periodic long memory GARCH models
• A wavelet Whittle estimator of generalized long-memory stochastic volatility
• Testing for long memory in the presence of non-linear deterministic trends with Chebyshev polynomials
• The k-factor GARMA process with infinite variance innovations
• Semiparametric Whittle estimation of a cyclical long-memory time series based on generalised exponential models
• Estimation of time-varying long memory parameter using wavelet method
• Testing Fractional Order of Long Memory Processes: A Monte Carlo Study
• Periodic Long-Memory GARCH Models
• TESTING FOR GENERAL FRACTIONAL INTEGRATION IN THE TIME DOMAIN
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• ON GENERALIZED FRACTIONAL PROCESSES
• Precious metals under the microscope: a high-frequency analysis
• Estimating seasonal long-memory processes: a Monte Carlo study
• Efficient Estimation of Seasonal Long‐Range‐Dependent Processes
• Exact local Whittle estimation in long memory time series with multiple poles
• Bayesian estimation of Gegenbauer processes
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• Modelling cycles in climate series: the fractional sinusoidal waveform process
• Cyclical long memory: decoupling, modulation, and modeling
• GARTFIMA process and its empirical spectral density based estimation
• Periodic trawl processes: simulation, statistical inference and applications in energy markets
• Conditional sum of squares estimation of \(k\)-factor GARMA models
• On several properties of a novel class of generalized Humbert autoregressive moving average process
• Testing for periodicity at an unknown frequency under cyclic long memory, with applications to respiratory muscle training
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• A Bayesian nonlinear model with multiple frequencies for business cycle analysis
• Estimation of fractional integration under temporal aggregation
• On a class of minimum contrast estimators for Gegenbauer random fields
• Seasonal fractional ARIMA with stable innovations
• Minimum distance estimation of k-factors GARMA processes
• Estimation of seasonal fractionally integrated processes

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