ON GENERALIZED FRACTIONAL PROCESSES
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FARMA modelfractional autoregressive moving-averagefractional differencesGARMA processGegenbauer autoregressive moving- averagegenerating function of Gegenbauer polynomialsgeneration of realizationslong-term periodic behaviormodel identificationparameter estimationstationary long-memory processessunspot datatime series
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Cites work
- A New ARMA Spectral Estimator
- A new look at the statistical model identification
- Fractional differencing
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- On the Relationship Between the S Array and the Box-Jenkins Method of ARMA Model Identification
Cited in
(only showing first 100 items - show all)- Semiparametric estimation for seasonal long-memory time series using generalized exponential models
- On properties of the second order generalized autoregressive GAR(2) model with index
- Unemployment and entrepreneurship: a cyclical relation?
- Determination of Gegenbauer-type random process models
- Continuous-time fractional ARMA processes
- Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration. Theory and evidence
- Time series regression with long-range dependence
- On the eigenstructure of generalized fractional processes.
- Fractionally differenced Gegenbauer processes with long memory: a review
- Computation of the autocovariances for time series with multiple long-range persistencies
- State space modeling of Gegenbauer processes with long memory
- Simultaneous quantile inference for non-stationary long-memory time series
- On the domain of fractional Laplacians and related generators of Feller processes
- A new time domain estimation of k-factors GARMA processes
- Indirect estimation of ARFIMA and VARFIMA models
- Gaussian estimation of parametric spectral density with unknown pole
- Higher-order kernel semiparametric M-estimation of long memory
- Local Whittle estimation in nonstationary and unit root cases.
- A generalized fractionally differencing approach in long-memory modeling
- Long memory processes and fractional integration in econometrics
- Varieties of long memory models
- Estimating a generalized long memory process
- Spurious regressions between stationary generalized long memory processes
- The ARMA alphabet soup: a tour of ARMA model variants
- A general frequency domain estimation method for Gegenbauer processes
- Estimation methods for stationary Gegenbauer processes
- A harmonically weighted filter for cyclical long memory processes
- Cointegrated dynamics for a generalized long memory process: application to interest rates
- A semiparametric approach to estimate two seasonal fractional parameters in the SARFIMA model
- Random sampling of long-memory stationary processes
- The cyclical structure of the UK inflation rate: 1210--2016
- The generalised autocovariance function
- Spectral density and spectral distribution inference for long memory time series via fixed-b asymptotics
- Autoregressive approximation in nonstandard situations: the fractionally integrated and non-invertible cases
- Semiparametric estimation for stationary processes whose spectra have an unknown pole
- A wavelet Whittle estimator of generalized long-memory stochastic volatility
- Modelling structural breaks, long memory and stock market volatility: an overview
- A parametric bootstrap test for cycles
- Testing for long memory in the presence of non-linear deterministic trends with Chebyshev polynomials
- Bayesian estimation of Gegenbauer long memory processes with stochastic volatility: methods and applications
- Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models
- Local Whittle estimation of fractional integration and some of its variants
- The k-factor GARMA process with infinite variance innovations
- Semiparametric Whittle estimation of a cyclical long-memory time series based on generalised exponential models
- Testing unit roots and long range dependence of foreign exchange
- Modelling long-run trends and cycles in financial time series data
- Why FARIMA models are brittle
- On the computation of autocovariances for generalized Gegenbauer processes
- Estimation ofk-Factor GIGARCH Process: A Monte Carlo Study
- Testing Fractional Order of Long Memory Processes: A Monte Carlo Study
- Nonstationarity-extended Whittle estimation
- TESTING FOR GENERAL FRACTIONAL INTEGRATION IN THE TIME DOMAIN
- A bivariate fractionally cointegrated relationship in the context of cyclical structures
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- A k-Factor GARMA Long-memory Model
- Indirect inference for fractional time series models
- A joint test of fractional cyclic integration and a linear time trend
- A note on calculating autocovariances of long‐memory processes
- Precious metals under the microscope: a high-frequency analysis
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- Fourier transforms of stationary processes
- LONG-RANGE DEPENDENCE AND MIXING FOR DISCRETE TIME FRACTIONAL PROCESSES
- Aggregation of the generalized fractional processes
- A GENERALIZED FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE PROCESS
- Generalized fractional nonlinear birth processes
- Asymptotic normality for weighted sums of linear processes
- Tempered fractional Poisson processes and fractional equations with Z-transform
- On cointegration for processes integrated at different frequencies
- On singular spectrum analysis and stepwise time series reconstruction
- Estimating seasonal long-memory processes: a Monte Carlo study
- Estimation of the frequency in cyclical long-memory series
- Gaussian semiparametric estimation in seasonal/cyclical long memory time series.
- Log-periodogram regression in asymmetric long memory.
- Hyper-spherical and elliptical stochastic cycles
- How can we Define the Concept of Long Memory? An Econometric Survey
- Marginal density estimation for linear processes with cyclical long memory
- Linear prediction of long-range dependent time series
- The memory of stochastic volatility models
- Calculating and analyzing impulse responses for the vector ARFIMA model.
- Bayesian estimation of Gegenbauer processes
- Forecasting highly persistent time series with bounded spectrum processes
- Seasonal generalized AR models
- Exploring long-memory process in the prediction of interval-valued financial time series and its application
- A generalized stochastic process: fractional G-Brownian motion
- Humbert generalized fractional differenced ARMA processes
- Modelling cycles in climate series: the fractional sinusoidal waveform process
- Inference for estimators of generalized long memory processes
- First-order Spatial Gegenbauer Autoregressive (SGAR(1,1)) model and some of its properties
- An introduction to vector Gegenbauer processes with long memory
- Comparison of standard long memory time series
- Cyclical long memory: decoupling, modulation, and modeling
- GARTFIMA process and its empirical spectral density based estimation
- Periodic trawl processes: simulation, statistical inference and applications in energy markets
- Conditional sum of squares estimation of \(k\)-factor GARMA models
- On several properties of a novel class of generalized Humbert autoregressive moving average process
- Testing for periodicity at an unknown frequency under cyclic long memory, with applications to respiratory muscle training
- A wavelet-based approach for modelling exchange rates
- Properties of seasonal long memory processes
- Estimation of fractional integration under temporal aggregation
- On a class of minimum contrast estimators for Gegenbauer random fields
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