On the eigenstructure of generalized fractional processes.

DOI10.1016/J.SPL.2003.07.008zbMATH Open1048.62087OpenAlexW2106616633MaRDI QIDQ1423091FDOQ1423091

Authors: Wilfredo Palma, Pascal Bondon 

Publication date: 14 February 2004

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2003.07.008

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zbMATH Keywords

Toeplitz matrixBLUEGeneralized long memory processesLinear processes

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05) Eigenvalues, singular values, and eigenvectors (15A18) General second-order stochastic processes (60G12)

Cites Work

• Asymptotic theory of statistical inference for time series
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• On large-sample estimation for the mean of a stationary random sequence
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• A k-Factor GARMA Long-memory Model
• ON THE EFFICIENCY OF THE SAMPLE MEAN IN LONG-MEMORY NOISE

Cited In (2)

• Inference of Seasonal Long‐memory Time Series with Measurement Error
• Inference of seasonal long-memory aggregate time series

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