Estimation of long-memory time series models: a survey of different likelihood-based methods

DOI10.1016/S0731-9053(05)20023-3MaRDI QIDQ3571979zbMATH OpenFDO

Authors Ngai Hang Chan, Wilfredo Palma

Publication date 30 June 2010

Published in Advances in Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0731-9053(05)20023-3

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 economics (62P20)

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Cited in

(17)

• When long memory meets the Kalman filter: a comparative study
• Fractionally differenced Gegenbauer processes with long memory: a review
• State space modeling of Gegenbauer processes with long memory
• Adjusted blockwise empirical likelihood for long memory time series models
• State space modeling of long-memory processes
• A regularised estimator for long-range dependent processes
• The ARMA alphabet soup: a tour of ARMA model variants
• An approximate fractional Gaussian noise model with \(\mathcal{O}(n)\) computational cost
• State space estimation for long memory AFRIMA-GARCH models
• Estimation Methods of the Long Memory Parameter: Monte Carlo Analysis and Application
• Multifractal Analysis of Multivariate Images Using Gamma Markov Random Field Priors
• On maximum likelihood estimation of the long-memory parameter in fractional Gaussian noise
• Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models
• Comparison of standard long memory time series
• Novel Bayesian algorithms for ARFIMA long-memory processes: a comparison between MCMC and ABC approaches
• Robust Trend Estimation for Strongly Persistent Data with Unobserved Memory
• The modified conditional sum-of-squares estimator for fractionally integrated models

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