On the eigenstructure of generalized fractional processes.

DOI10.1016/J.SPL.2003.07.008MaRDI QIDQ1423091zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3131354 (Why is no real title available?)
• scientific article; zbMATH DE number 3131469 (Why is no real title available?)
• scientific article; zbMATH DE number 3139051 (Why is no real title available?)
• scientific article; zbMATH DE number 4102349 (Why is no real title available?)
• scientific article; zbMATH DE number 194139 (Why is no real title available?)
• A k-Factor GARMA Long-memory Model
• Asymptotic theory of statistical inference for time series
• ON THE EFFICIENCY OF THE SAMPLE MEAN IN LONG-MEMORY NOISE
• On large-sample estimation for the mean of a stationary random sequence

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(2)

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

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