A Class of Antipersistent Processes

DOI10.1111/j.1467-9892.2006.00509.xzbMath1150.62040OpenAlexW2166689289MaRDI QIDQ3505318

Pascal Bondon, Wilfredo Palma

Publication date: 18 June 2008

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2006.00509.x

zbMATH Keywords

FARIMA processesautoregressive expansionsmoving average parameters

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (16)

Seasonal FIEGARCH processes ⋮ Minimum distance estimation of ARFIMA processes ⋮ On continuous-time autoregressive fractionally integrated moving average processes ⋮ Estimation and forecasting of long memory stochastic volatility models ⋮ SYMARFIMA: a dynamical model for conditionally symmetric time series with long range dependence mean structure ⋮ Detection of long range dependence in the time domain for (in)finite-variance time series ⋮ The ARMA alphabet soup: a tour of ARMA model variants ⋮ The trace problem for Toeplitz matrices and operators and its impact in probability ⋮ Statistical challenges in microrheology ⋮ Efficient tapered local Whittle estimation of multivariate fractional processes ⋮ Memory properties of transformations of linear processes ⋮ Impulse responses of antipersistent processes ⋮ Theoretical results on fractionally integrated exponential generalized autoregressive conditional heteroskedastic processes ⋮ Efficiency in estimation of memory ⋮ Limit theorems for Toeplitz-type quadratic functionals of stationary processes and applications ⋮ On processes with hyperbolically decaying autocorrelations

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