The k-factor GARMA process with infinite variance innovations

DOI10.1080/03610918.2013.824095zbMATH Open1339.65019OpenAlexW2081514514MaRDI QIDQ2809616FDOQ2809616

Authors: Abdou Kâ Diongue, Mor Ndongo 

Publication date: 30 May 2016

Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2013.824095

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zbMATH Keywords

long memorystable distributionsGegenbauer polynomialWhittle estimationMarkov chains Monte Carloconditional sum squares

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Self-similar stochastic processes (60G18)

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Cited In (5)

• Minimum distance estimation of \(k\)-factors GARMA processes
• On some new results for cointegrated processes with infinite variance innovations
• A new time domain estimation of \(k\)-factors GARMA processes
• Inference for estimators of generalized long memory processes
• Conditional sum of squares estimation of \(k\)-factor GARMA models

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