Infinite variance stable Gegenbauer ARFISMA models
DOI10.16929/AS/2021.2789.184zbMATH Open1487.60033MaRDI QIDQ2138255FDOQ2138255
Filamory Abraham Michael Keita, Ouagnina Hili, Serge-Hippolyte Arnaud Kanga
Publication date: 11 May 2022
Published in: Afrika Statistika (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/journals/afrika-statistika/volume-16/issue-3/Infinite-Variance-Stable-Gegenbaeur-Arfisma-Models/10.16929/as/2021.2789.184.full
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Cites Work
- Fractional differencing
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- Limiting distributions of least squares estimates of unstable autoregressive processes
- Fractional ARIMA with stable innovations
- Estimation Methods of the Long Memory Parameter: Monte Carlo Analysis and Application
- A k-Factor GARMA Long-memory Model
- Parameter estimation for ARMA models with infinite variance innovations
- A generalized fractionally differencing approach in long-memory modeling
- Semiparametric inference in seasonal and cyclical long memory processes
- (MIS)SPECIFICATION OF LONG MEMORY IN SEASONAL TIME SERIES
- Estimating seasonal long-memory processes: a Monte Carlo study
- Estimation for seasonal fractional ARIMA with stable innovations via the empirical characteristic function method
- A NOTE ON THE THRESHOLD AR(1) MODEL WITH CAUCHY INNOVATIONS
- MODELING LONG-MEMORY PROCESSES FOR OPTIMAL LONG-RANGE PREDICTION
- Estimation of the characteristic exponent of stable laws
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