Time Domain Estimation of Long Range Dependence

DOI10.1080/02522667.1997.10699355zbMath0938.62092OpenAlexW2058990900MaRDI QIDQ4239549

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Publication date: 13 June 2000

Published in: Journal of Information and Optimization Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02522667.1997.10699355

zbMATH Keywords

time domainmean square errorfractionally differenced ARIMA models

Mathematics Subject Classification ID

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

Cites Work

• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• Parameter estimation in low order fractionally differenced ARMA processes
• REGRESSION OF SPECTRAL ESTIMATORS WITH FRACTIONALLY INTEGRATED TIME SERIES
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• ON ESTIMATION OF LONG-MEMORY TIME SERIES MODELS
• Fractional differencing
• LAG WINDOW ESTIMATION OF THE DEGREE OF DIFFERENCING IN FRACTIONALLY INTEGRATED TIME SERIES MODELS
• Fitting a fractional ARIMA model to time series data