On the computation of autocovariances for generalized Gegenbauer processes
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Publication:3145545
zbMATH Open1253.62062MaRDI QIDQ3145545FDOQ3145545
Tucker S. McElroy, Scott H. Holan
Publication date: 21 December 2012
Full work available at URL: http://www3.stat.sinica.edu.tw/statistica/j22n4/J22N413/J22N413.html
tablesmaximum likelihoodseasonalityspectral densitylong memoryexponential modelSARFIMAARFIMAGARMAFEXP modelk-factor GARMAk-factor GEXP
Cited In (14)
- A note on calculating autocovariances of long‐memory processes
- A method for computing the autocovariance of renewal processes
- Estimation methods for stationary Gegenbauer processes
- Cyclical long memory: decoupling, modulation, and modeling
- Spectral density and spectral distribution inference for long memory time series via fixed-b asymptotics
- Modelling cycles in climate series: the fractional sinusoidal waveform process
- Computation of the autocovariances for time series with multiple long-range persistencies
- On a class of minimum contrast estimators for Gegenbauer random fields
- Covariate‐based cepstral parameterizations for time‐varying spatial error covariances
- Multistep ahead forecasting of vector time series
- Generalised cepstral models for the spectrum of vector time series
- Cointegrated dynamics for a generalized long memory process: application to interest rates
- An introduction to vector Gegenbauer processes with long memory
- Generalized autocovariance matrices for multivariate time series
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