Estimation of the memory parameter by fitting fractionally differenced autoregressive models
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- scientific article; zbMATH DE number 795280
Cites work
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- Broadband log-periodogram regression of time series with long-range dependence
- Consistent autoregressive spectral estimates
- Data driven order selection for projection estimator of the spectral density of time series with long range dependence
- Efficient parameter estimation for self-similar processes
- Fractional ARIMA with stable innovations
- Gaussian semiparametric estimation of long range dependence
- Inverses of Toeplitz Operators, Innovations, and Orthogonal Polynomials
- Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
- Linear prediction by autoregressive model fitting in the time domain
Cited in
(15)- Estimation of the Memory Parameters of the Fractionally Integrated Separable Spatial Autoregressive (FISSAR(1, 1)) Model: A Simulation Study
- Maximum likelihood estimators of a long-memory process from discrete observations
- Plug‐in Selection of the Number of Frequencies in Regression Estimates of the Memory Parameter of a Long‐memory Time Series
- Parameter estimates for fractional autoregressive spatial processes
- Frequency domain bootstrap for ratio statistics under long-range dependence
- A generalized fractionally differencing approach in long-memory modeling
- A generalized portmanteau test for independence between two stationary time series
- Approximations and limit theory for quadratic forms of linear processes
- Contiguity of fractional differencing
- Adaptive wavelet-based estimator of the memory parameter for stationary Gaussian processes
- Long memory conditional random fields on regular lattices
- The FEXP estimator for potentially non-stationary linear time series.
- Adaptive semiparametric wavelet estimator and goodness-of-fit test for long-memory linear processes
- MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS
- Broadband semi-parametric estimation of long-memory time series by fractional exponential models
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