The k-factor GARMA process with infinite variance innovations

DOI10.1080/03610918.2013.824095MaRDI QIDQ2809616zbMATHOpenAlexFDO

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

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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Cites work

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• scientific article; zbMATH DE number 3070807 (Why is no real title available?)
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• Semiparametric inference in seasonal and cyclical long memory processes
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• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS

Cited in

(5)

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

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