Minimum distance estimation of ARFIMA processes

DOI10.1016/j.csda.2012.08.005zbMath1365.62350OpenAlexW2098709149MaRDI QIDQ2361199

Wilfredo Palma, Mauricio Zevallos

Publication date: 30 June 2017

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

Full work available at URL: http://hdl.handle.net/10533/129413

zbMATH Keywords

missing dataautocorrelationfractional noiselong-memorynon-Gaussian processesfractional filtering

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to biology and medical sciences; meta analysis (62P10) Central limit and other weak theorems (60F05) Non-Markovian processes: estimation (62M09)

Related Items

Robust minimum distance estimators for the CARR(1,1) model ⋮ Modified information criteria and selection of long memory time series models ⋮ On the asymptotic distribution of sample autocovariance differences of long-memory processes ⋮ First-order ARMA type fuzzy time series method based on fuzzy logic relation tables ⋮ Minimum distance estimation of locally stationary moving average processes

Uses Software

• longmemo

Cites Work

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