An introduction to vector Gegenbauer processes with long memory

DOI10.1002/STA4.197MaRDI QIDQ6541468zbMATH OpenFDO

Authors Hao Wu, Shelton Peiris

Publication date 19 May 2024

Published in Stat (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/STA4.197

zbMATH Keywords

autocorrelationconditional expectationestimationforecastingfractional differencingGARMAinnovationslong memoryperiodogramrandomregressionsecond order solutionspectrumvector GARMA models

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• Approximate asymptotic variance-covariance matrix for the Whittle estimators of GAR(1) parameters
• Estimating a generalized long memory process
• Fractionally differenced Gegenbauer processes with long memory: a review
• Generalized Autoregressive (GAR) Model: A Comparison of Maximum Likelihood and Whittle Estimation Procedures Using a Simulation Study
• scientific article; zbMATH DE number 3081880 (Why is no real title available?)
• Indirect estimation of ARFIMA and VARFIMA models
• ON GENERALIZED FRACTIONAL PROCESSES
• On the computation of autocovariances for generalized Gegenbauer processes
• Smoothed periodogram asymptotics and estimation for processes and fields with possible long-range dependence
• State space modeling of Gegenbauer processes with long memory
• The quasi-likelihood approach to statistical inference on multiple time-series with long-range dependence

Cited in

(1)

• Cyclical long memory: decoupling, modulation, and modeling

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