A comparison of techniques of estimation in long-memory processes.

DOI10.1016/S0167-9473(97)00045-5zbMath1042.62599OpenAlexW2045025439WikidataQ127807856 ScholiaQ127807856MaRDI QIDQ1128623

Luisa Bisaglia, Dominique Guégan

Publication date: 13 August 1998

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-9473(97)00045-5

zbMATH Keywords

EstimationLong-range dependenceFractional ARIMA(p,d,q) processesFractional Gaussian noise

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric tolerance and confidence regions (62F25)

Related Items (15)

Modified information criteria and selection of long memory time series models ⋮ When long memory meets the Kalman filter: a comparative study ⋮ Self-similarity in financial markets: a fractionally integrated approach ⋮ Fast approximate likelihood evaluation for stable VARFIMA processes ⋮ Temporal Aggregation and Bandwidth selection in estimating long memory ⋮ Mean square prediction error for long-memory processes ⋮ Prediction intervals for farima processes by bootstrap methods ⋮ Why Aggregate Long Memory Time Series? ⋮ Convex combinations of long memory estimates from different sampling rates ⋮ Bootstrap approaches for estimation and confidence intervals of long memory processes ⋮ Statistical analysis of autoregressive fractionally integrated moving average models in R ⋮ A comparison of estimation methods in non-stationary ARFIMA processes ⋮ Bootstrap techniques in semiparametric estimation methods for ARFIMA models: A comparison study. ⋮ How can we Define the Concept of Long Memory? An Econometric Survey ⋮ Fast Bayesian estimation for VARFIMA processes with stable errors

Uses Software

• longmemo

Cites Work

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