Maximum likelihood estimation of ARFIMA models with a Box-Cox transformation

DOI10.1007/S10260-003-0064-0MaRDI QIDQ1767008zbMATH OpenOpenAlexWikidataFDO

Authors Angela D'Elia, Domenico Piccolo

Publication date 3 March 2005

Published in Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10260-003-0064-0

zbMATH Keywords

ARFIMA modelsBox-Cox transformationNormalized Whittle likelihood

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Iterative numerical methods for linear systems (65F10)

Recommendations

• scientific article; zbMATH DE number 795280
• Bayesian Whittle estimation of ARFIMA model
• Maximum likelihood estimation of the fractional differencing parameter in an ARFIMA model using wavelets
• Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models
• A Modified Box-Cox Transformation in the Multivariate ARMA Model

Cited in

(3)

• Bayesian analysis of Box--Cox transformed linear mixed models with ARMA(p,q) dependence
• Inference on transformed stationary time series
• A Modified Box-Cox Transformation in the Multivariate ARMA Model

This page was built for publication: Maximum likelihood estimation of ARFIMA models with a Box-Cox transformation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1767008)