ESTIMATION IN LONG-MEMORY TIME SERIES MODEL

DOI10.1111/J.1467-9892.1988.TB00451.XMaRDI QIDQ3774773zbMATH OpenOpenAlexFDO

Authors Kie B. Eom, Rangasami L. Kashyap

Publication date 1988

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.1988.tb00451.x

zbMATH Keywords

Cramér-Rao lower boundfrequency domainleast- squares methodlong-memory time series modelsmean-square errorunbiased and consistent estimator

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• ON ESTIMATION OF LONG-MEMORY TIME SERIES MODELS
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• Broad band semiparametric estimation of the memory parameter of a long-memory time series using fractional exponential models

Cites work

• scientific article; zbMATH DE number 3824228 (Why is no real title available?)
• scientific article; zbMATH DE number 3765004 (Why is no real title available?)
• scientific article; zbMATH DE number 3626409 (Why is no real title available?)
• Parameter estimation and hypothesis testing in spectral analysis of stationary time series. Transl. from the Russian by Samuel Kotz

Cited in

(10)

• Time series regression with long-range dependence
• A new time-varying model for forecasting long-memory series
• Moment bounds and mean squared prediction errors of long-memory time series
• THE EXACT BIAS OF THE LOG-PERIODOGRAM REGRESSION ESTIMATOR
• Root-\(n\)-consistent estimation of weak fractional cointegration
• DIFFERENTIAL GEOMETRY OFARFIMAPROCESSES
• SIMULATION AND ESTIMATION OF LONG MEMORY CONTINUOUS TIME MODELS
• Estimation of slowly time-varying trend function in long memory regression models
• Stochastic differential equations with fractional Brownian motion input
• Estimation of impulse response functions using long autoregression

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