A minimum distance estimator for long-memory processes

DOI10.1016/0304-4076(94)01703-4MaRDI QIDQ1915449zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 17 July 1996

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

Full work available at URL https://doi.org/10.1016/0304-4076(94)01703-4

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cites work

• scientific article; zbMATH DE number 3982353 (Why is no real title available?)
• scientific article; zbMATH DE number 4102349 (Why is no real title available?)
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• APPROXIMATE SIMULTANEOUS SIGNIFICANCE INTERVALS FOR RESIDUAL AUTOCORRELATIONS OF AUTOREGRESSIVE MOVING-AVERAGE TIME SERIES MODELS
• Efficient parameter estimation for self-similar processes
• Fractional differencing
• Large Sample Properties of Generalized Method of Moments Estimators
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• Long memory relationships and the aggregation of dynamic models
• Noncentral limit theorems for quadratic forms in random variables having long-range dependence
• On large-sample estimation for the mean of a stationary random sequence
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• The asymptotic distribution of the sample inverse autocorrelations of an autoregressive-moving average process

Cited in

(21)

• Bayesian estimation of fractional difference parameter in ARFIMA models and its application
• Asymptotics for duration-driven long range dependent processes
• A new estimator of the fractionally integrated stochastic volatility model
• Minimum distance estimation of stationary and non‐stationary ARFIMA processes
• The variance profile
• Estimating the differencing parameter via the partial autocorrelation function
• Bayesian analysis of long memory and persistence using ARFIMA models
• Minimum distance estimation of locally stationary moving average processes
• Modified information criteria and selection of long memory time series models
• Long memory processes and fractional integration in econometrics
• A fractionally integrated Wishart stochastic volatility model
• Calculating and analyzing impulse responses for the vector ARFIMA model.
• Long memory and fractional differencing: revisiting Clive W. J. Granger's contributions and further developments
• On the asymptotic distribution of sample autocovariance differences of long-memory processes
• Minimum distance estimation of Markov-switching bilinear processes
• On periodic time-varying bilinear processes: structure and asymptotic inference
• An Omnibus Test for Time Series ModelI(d)
• The generalised autocovariance function
• Indirect estimation of ARFIMA and VARFIMA models
• An alternative maximum likelihood estimator of long-memory processes using compactly supported wavelets
• Minimum distance estimation of ARFIMA processes

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