Fitting long-memory models by generalized linear regression

DOI10.1093/BIOMET/80.4.817zbMATH Open0800.62521OpenAlexW2027851039MaRDI QIDQ4299461FDOQ4299461

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

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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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• Broadband semi-parametric estimation of long-memory time series by fractional exponential models

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