Estimating seasonal long-memory processes: a Monte Carlo study
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Cites work
- (MIS)SPECIFICATION OF LONG MEMORY IN SEASONAL TIME SERIES
- A comparison of estimation methods in non-stationary ARFIMA processes
- A generalized fractionally differencing approach in long-memory modeling
- A k-Factor GARMA Long-memory Model
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- Efficient parameter estimation for self-similar processes
- Estimation and information in stationary time series
- Estimation of seasonal fractionally integrated processes
- ESTIMATION OF THE FRACTIONAL DIFFERENCE PARAMETER IN THE ARIMA(p, d, q) MODEL USING THE SMOOTHED PERIODOGRAM
- ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES
- Fractional differencing
- Gaussian Semiparametric Estimation of Non-stationary Time Series
- scientific article; zbMATH DE number 1715060 (Why is no real title available?)
- scientific article; zbMATH DE number 1805572 (Why is no real title available?)
- scientific article; zbMATH DE number 847242 (Why is no real title available?)
- Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
- Log-periodogram regression of time series with long range dependence
- ON GENERALIZED FRACTIONAL PROCESSES
- ON GENERALIZED FRACTIONAL PROCESSES – A CORRECTION
- POWER FUNCTION FOR INVERSE GAUSSIAN REGRESSION MODELS
- Semiparametric inference in seasonal and cyclical long memory processes
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
Cited in
(15)- Semiparametric estimation for seasonal long-memory time series using generalized exponential models
- A new kernel for long-run variance estimates in seasonal time series models
- The scaling function-based estimator of long memory in the presence of a short-term component
- Robust estimation of fractional seasonal processes: modeling and forecasting daily average \(\mathrm{SO}_2\) concentrations
- Asymptotic normality of simultaneous estimators of cyclic long-memory processes
- Infinite variance stable Gegenbauer ARFISMA models
- A semiparametric approach to estimate two seasonal fractional parameters in the SARFIMA model
- Estimation Methods of the Long Memory Parameter: Monte Carlo Analysis and Application
- Inference of Seasonal Long‐memory Time Series with Measurement Error
- Correlated Errors in the Parameters Estimation of the ARFIMA Model: A Simulated Study
- Efficient Estimation of Seasonal Long‐Range‐Dependent Processes
- Marginal density estimation for linear processes with cyclical long memory
- Long memory with seasonal effects
- The CSS and the two-staged methods for parameter estimation in SARFIMA models
- Estimation of seasonal fractionally integrated processes
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