Fitting long-memory models by generalized linear regression

DOI10.1093/BIOMET/80.4.817MaRDI QIDQ4299461zbMATH OpenOpenAlexFDO

Authors Jan Beran

Publication date 4 July 1994

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://www.zora.uzh.ch/id/eprint/124455/1/80-4-817.pdf

zbMATH Keywords

maximum likelihood estimationgeneralized linear modelslong-range dependencefractional ARIMA

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Generalized linear models (logistic models) (62J12)

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• Estimation methods for stationary Gegenbauer processes
• Fractionally differenced Gegenbauer processes with long memory: a review
• Semiparametric Whittle estimation of a cyclical long-memory time series based on generalised exponential models
• On the predictability of long-range dependent series
• Semiparametric estimation for seasonal long-memory time series using generalized exponential models
• REGRESSION MODEL FITTING WITH A LONG MEMORY COVARIATE PROCESS
• LONG MEMORY IN FINANCIAL TIME SERIES DATA WITH NON-GAUSSIAN DISTURBANCES
• FIXED-B ASYMPTOTICS FOR THE STUDENTIZED MEAN FROM TIME SERIES WITH SHORT, LONG, OR NEGATIVE MEMORY
• The use of the Bloomfield model as an approximation to ARMA processes in the context of fractional integration
• Broadband log-periodogram regression of time series with long-range dependence
• Space‐time modelling of trends in temperature series
• Approximate wavelet-based simulation of long memory processes
• Random time series in astronomy
• A frequency domain test for detecting nonstationary time series
• MEASURING THE MEMORY PARAMETER ON SEVERAL TRANSFORMATIONS OF ASSET RETURNS
• Long memory conditional random fields on regular lattices
• Fractal time series -- A tutorial review
• Bootstrap testing for discontinuities under long-range dependence
• Saddlepoint approximations for short and long memory time series: a frequency domain approach
• A New Test for Short Memory in Long Memory Time Series
• Generalized fractional Gaussian noise and its application to traffic modeling
• Distribution theory for the Studentized mean for long, short, and negative memory time series
• Cauchy-Matern model of sea surface wind speed at the Lake Worth, Florida
• Applied regression analysis bibliography update 1994-97
• A fractional integration analysis of the population in some OECD countries
• Fast Bayesian estimation for VARFIMA processes with stable errors
• Broadband semi-parametric estimation of long-memory time series by fractional exponential models

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