Parameter estimation in low order fractionally differenced ARMA processes

DOI10.1007/BF01544075zbMath0687.62079MaRDI QIDQ1263210

K. Appert

Publication date: 1989

Published in: Stochastic Hydrology and Hydraulics (Search for Journal in Brave)

zbMATH Keywords

long memory; spectral density; approximate maximum likelihood estimators; regression type estimators; ARIMA (0,d,0) processes; ARIMA (1,d,1) processes; fractionally differenced ARMA (p,q) process

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62M15: Inference from stochastic processes and spectral analysis

65C05: Monte Carlo methods

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