Estimating a generalized long memory process
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Cites work
- scientific article; zbMATH DE number 3150170 (Why is no real title available?)
- scientific article; zbMATH DE number 3824228 (Why is no real title available?)
- scientific article; zbMATH DE number 3565994 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- A NOTE ON ASYMPTOTIC INFERENCE IN AUTOREGRESSIVE MODELS WITH ROOTS ON THE UNIT CIRCLE
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- Asymptotic properties of multivariate nonstationary processes with applications to autoregressions
- DISTRIBUTIONS OF LEAST SQUARES ESTIMATORS OF AUTOREGRESSIVE PARAMETERS FOR A PROCESS WITH COMPLEX ROOTS ON THE UNIT CIRCLE
- Fractional differencing
- Limiting distributions of least squares estimates of unstable autoregressive processes
- Long memory relationships and the aggregation of dynamic models
- ON GENERALIZED FRACTIONAL PROCESSES
- Time Series Regression with a Unit Root
Cited in
(52)- Minimum distance estimation of k-factors GARMA processes
- Generalized inverse extrapolation of stochastic processes by an aggregate of continuous discrete observations with memory
- On estimating the marginal distribution of a detrended series with long memory
- The k-factor GARMA process with infinite variance innovations
- Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models
- Adaptive estimation of the lag of a long-memory process
- Trimming and Tapering Semi‐Parametric Estimates in Asymmetric Long Memory Time Series
- A note on calculating autocovariances of long‐memory processes
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- Estimation of mis-specified long memory models
- Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models
- A bivariate fractionally cointegrated relationship in the context of cyclical structures
- Estimation methods for stationary Gegenbauer processes
- Estimating parameters of a k-factor GIGARCH process
- Fractionally differenced Gegenbauer processes with long memory: a review
- On the eigenstructure of generalized fractional processes.
- State space modeling of Gegenbauer processes with long memory
- Semiparametric estimation for seasonal long-memory time series using generalized exponential models
- A wavelet-based approach for modelling exchange rates
- Calculating and analyzing impulse responses for the vector ARFIMA model.
- A new time domain estimation of k-factors GARMA processes
- A harmonically weighted filter for cyclical long memory processes
- GARTFIMA process and its empirical spectral density based estimation
- Testing for periodicity at an unknown frequency under cyclic long memory, with applications to respiratory muscle training
- Bayesian estimation of Gegenbauer processes
- Estimation of cyclic long-memory parameters
- Computation of the autocovariances for time series with multiple long-range persistencies
- A general frequency domain estimation method for Gegenbauer processes
- Modelling cycles in climate series: the fractional sinusoidal waveform process
- ON ESTIMATION OF LONG-MEMORY TIME SERIES MODELS
- Spurious regressions between stationary generalized long memory processes
- Convex combinations of long memory estimates from different sampling rates
- Estimating long memory: scaling function vs. Andrews and Guggenberger GPH
- On a class of minimum contrast estimators for Gegenbauer random fields
- TESTING FOR GENERAL FRACTIONAL INTEGRATION IN THE TIME DOMAIN
- Estimation ofk-Factor GIGARCH Process: A Monte Carlo Study
- Aggregation of the generalized fractional processes
- Humbert generalized fractional differenced ARMA processes
- Conditional sum of squares estimation of \(k\)-factor GARMA models
- Precious metals under the microscope: a high-frequency analysis
- Testing for long memory in the presence of non-linear deterministic trends with Chebyshev polynomials
- Quasi‐Maximum Likelihood Estimation for a Class of Continuous‐time Long‐memory Processes
- A wavelet Whittle estimator of generalized long-memory stochastic volatility
- Modelling structural breaks, long memory and stock market volatility: an overview
- Generalized Bernoulli process: simulation, estimation, and application
- GENERALISED LEAST SQUARES (GLS) ESTIMATION OF THE DIFFERENCE PARAMETER IN LONG MEMORY (ARFIMA) PROCESSES
- Cointegrated dynamics for a generalized long memory process: application to interest rates
- ON GENERALIZED FRACTIONAL PROCESSES
- The cyclical structure of the UK inflation rate: 1210--2016
- An introduction to vector Gegenbauer processes with long memory
- Estimation of the frequency in cyclical long-memory series
- Fractional periodic autoregression
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