Penalised maximum likelihood estimation for fractional Gaussian processes

DOI10.1093/BIOMET/88.3.888MaRDI QIDQ2775622zbMATH OpenOpenAlexFDO

Authors Offer Lieberman

Publication date 10 March 2003

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/ab2545a61bba95d7732243865887f7ee5d1070c3

zbMATH Keywords

approximate modificationARFIMAFirth's formulafractional differencing

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(7)

• On least squares estimation for long-memory lattice processes
• First-order bias correction for fractionally integrated time series
• ON PLUG-IN ESTIMATION OF LONG MEMORY MODELS
• Likelihood-based inference for regular functions with fractional polynomial approximations
• A New Test for Short Memory in Long Memory Time Series
• Long-term trends of US county-level extreme ozone concentrations with long memory and changepoint considerations
• Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models

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