Fitting non-Gaussian persistent data

DOI10.1002/ASMB.847MaRDI QIDQ2862418zbMATH OpenOpenAlexFDO

Authors Wilfredo Palma, Mauricio Zevallos

Publication date 15 November 2013

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10533/127583

zbMATH Keywords

predictionlong-range dependencepersistenceconditional variancequasi-maximum likelihoodARFIMA models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to environmental and related topics (62P12) Geostatistics (86A32) Economic time series analysis (91B84)

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Cites work

• scientific article; zbMATH DE number 1447423 (Why is no real title available?)
• A limit theory for long-range dependence and statistical inference on related models
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• An automatic portmanteau test for serial correlation
• Asymptotic theory of statistical inference for time series
• Estimation of GARCH models from the autocorrelations of the squares of a process
• Fractional differencing
• Likelihood‐based Analysis of a Class of Generalized Long‐Memory Time Series Models
• Long‐Memory Time Series
• On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity
• State space modeling of long-memory processes
• Theory & Methods: Non‐Gaussian Conditional Linear AR(1) Models
• Time series: theory and methods.

Cited in

(2)

• Positive time series regression models: theoretical and computational aspects
• Forecasting time series by long-memory models for count data with an application to price jumps

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