Bias in the sample autocorrelations of fractional noise

DOI10.1093/BIOMET/80.3.698MaRDI QIDQ4280039zbMATH OpenOpenAlexFDO

Authors Paul Newbold, Christos Agiakloglou

Publication date 7 March 1994

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/80.3.698

Mathematics Subject Classification ID

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

Cited in

(14)

• Maximum likelihood estimators for ARMA and ARFIMA models: a Monte Carlo study.
• Bayesian analysis of long memory and persistence using ARFIMA models
• Sample autocorrelations of nonstationary fractionally integrated series
• Indirect estimation of ARFIMA and VARFIMA models
• Long memory processes and fractional integration in econometrics
• Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series
• Stochastic differential equations with a fractionally filtered delay: a semimartingale model for long-range dependent processes
• Bias Correction of Persistence Measures in Fractionally Integrated Models
• BIAS-REDUCED LOG-PERIODOGRAM AND WHITTLE ESTIMATION OF THE LONG-MEMORY PARAMETER WITHOUT VARIANCE INFLATION
• First-order bias correction for fractionally integrated time series
• GENERALISED LEAST SQUARES (GLS) ESTIMATION OF THE DIFFERENCE PARAMETER IN LONG MEMORY (ARFIMA) PROCESSES
• A New Test for Short Memory in Long Memory Time Series
• A small sample confidence interval for autoregressive parameters
• Variance bound of ACF estimation of one block of fGn with LRD

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