Estimation in long memory time series models

DOI10.1080/03610929208830850MaRDI QIDQ3135647zbMATH OpenOpenAlexFDO

Authors

Publication date 11 October 1993

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610929208830850

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Cites work

• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Fractional differencing
• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• ON ESTIMATION OF LONG-MEMORY TIME SERIES MODELS
• Parameter estimation in low order fractionally differenced ARMA processes
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS

Cited in

(2)

• Minimum Hellinger distance estimates for a periodically time-varying long memory parameter
• The distribution of the low frequency periodogram ordinates of fractionally differenced series and their inclusion in two estimators of the differencing parameter

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