Fitting long-memory models by generalized linear regression
From MaRDI portal
Publication:4299461
DOI10.1093/biomet/80.4.817zbMath0800.62521OpenAlexW2027851039MaRDI QIDQ4299461
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
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Generalized linear models (logistic models) (62J12)
Related Items (31)
A New Test for Short Memory in Long Memory Time Series ⋮ A frequency domain test for detecting nonstationary time series ⋮ Fractionally differenced Gegenbauer processes with long memory: a review ⋮ Bayesian semi-parametric estimation of the long-memory parameter under FEXP-priors ⋮ Random time series in astronomy ⋮ Estimating the Mean Direction of Strongly Dependent Circular Time Series ⋮ Cauchy-Matern model of sea surface wind speed at the Lake Worth, Florida ⋮ Bayesian nonparametric estimation of the spectral density of a long or intermediate memory Gaussian process ⋮ Distribution theory for the Studentized mean for long, short, and negative memory time series ⋮ 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 ⋮ MEASURING THE MEMORY PARAMETER ON SEVERAL TRANSFORMATIONS OF ASSET RETURNS ⋮ The Variance Profile ⋮ Fractal time series -- A tutorial review ⋮ On the predictability of long-range dependent series ⋮ The use of the Bloomfield model as an approximation to ARMA processes in the context of fractional integration ⋮ A fractional integration analysis of the population in some OECD countries ⋮ Approximate wavelet-based simulation of long memory processes ⋮ Saddlepoint approximations for short and long memory time series: a frequency domain approach ⋮ Semiparametric Whittle estimation of a cyclical long-memory time series based on generalised exponential models ⋮ Semiparametric estimation for seasonal long-memory time series using generalized exponential models ⋮ Broadband semi-parametric estimation of long-memory time series by fractional exponential models ⋮ Bootstrap testing for discontinuities under long-range dependence ⋮ Generalized fractional Gaussian noise and its application to traffic modeling ⋮ Broadband log-periodogram regression of time series with long-range dependence ⋮ Fast Bayesian estimation for VARFIMA processes with stable errors ⋮ Space‐time modelling of trends in temperature series ⋮ Applied regression analysis bibliography update 1994-97 ⋮ Empirical evidence of the spot and the forward exchange rates in Canada. ⋮ WHY FARIMA MODELS ARE BRITTLE ⋮ Estimation methods for stationary Gegenbauer processes
This page was built for publication: Fitting long-memory models by generalized linear regression
