General autoregressive models with long-memory noise

DOI10.1023/A:1021239013171MaRDI QIDQ1862209zbMATH OpenOpenAlexFDO

Authors Mohamed Boutahar

Publication date 10 March 2003

Published in Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1021239013171

zbMATH Keywords

least-squares estimatorfractional Brownian motionlong-memory processstandard Brownian motionstochastic integralgeneral autoregressive modelmultiple Wiener-Itô integral

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Functional limit theorems; invariance principles (60F17)

Recommendations

• Modèles autorégressifs explosifs avec bruit longue mémoire
• Least squares estimators for nearly unstable processes for functionals of long-memory noises
• Limiting distributions of least squares estimates of unstable autoregressive processes
• ON ESTIMATION OF LONG-MEMORY TIME SERIES MODELS
• Identification of Persistent Cycles in Non-Gaussian Long-Memory Time Series

Cited in

(4)

• Identification of Persistent Cycles in Non-Gaussian Long-Memory Time Series
• Moment estimator for an AR(1) model driven by a long memory Gaussian noise
• THE DISTRIBUTION OF NONSTATIONARY AUTOREGRESSIVE PROCESSES UNDER GENERAL NOISE CONDITIONS
• Least squares estimators for nearly unstable processes for functionals of long-memory noises

This page was built for publication: General autoregressive models with long-memory noise

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1862209)