Exact likelihood function forms for an ARFIMA process

MaRDI QIDQ4395012zbMATH OpenFDO

Authors Nalini Ravishanker, Jeffrey S. Pai

Publication date 11 October 1998

zbMATH Keywords

ARMA processclosed form expressionsexact likelihood functionGaussian ARFIMA processtime series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(7)

• Estimation methods for stationary Gegenbauer processes
• Computation of the exact likelihood function of an arima process
• SMALL-SAMPLE LIKELIHOOD-BASED INFERENCE IN THE ARFIMA MODEL
• DIFFERENTIAL GEOMETRY OFARFIMAPROCESSES
• Likelihood‐based Analysis of a Class of Generalized Long‐Memory Time Series Models
• Bayesian estimation of Gegenbauer processes
• Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models

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