Likelihood Inference for Possibly Nonstationary Processes via Adaptive Overdifferencing
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Cites work
- A Note on Whittle's Likelihood
- An efficient taper for potentially overdifferenced long-memory time series
- ASYMPTOTIC THEORY FOR MAXIMUM LIKELIHOOD ESTIMATION OF THE MEMORY PARAMETER IN STATIONARY GAUSSIAN PROCESSES
- Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time-series models
- Bayesian inference for ARFIMA models
- Cell line classification using electric cell-substrate impedance sensing (ECIS)
- Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models
- ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES
- Fast Gaussian Elimination with Partial Pivoting for Matrices with Displacement Structure
- Fractional differencing
- Gaussian pseudo-maximum likelihood estimation of fractional time series models
- scientific article; zbMATH DE number 795280 (Why is no real title available?)
- scientific article; zbMATH DE number 3395169 (Why is no real title available?)
- Inference with the Whittle Likelihood: A Tractable Approach Using Estimating Functions
- Long memory relationships and the aggregation of dynamic models
- Long-Range Dependence and Self-Similarity
- Minimum distance estimation of stationary and non‐stationary ARFIMA processes
- Modeling a nonlinear biophysical trend followed by long-memory equilibrium with unknown change point
- On the invertibility of fractionally differenced ARIMA processes
- The debiased Whittle likelihood
- The role of initial values in conditional sum-of-squares estimation of nonstationary fractional time series models
- Truncated sum of squares estimation of fractional time series models with deterministic trends
- Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series
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