Indirect inference for fractional time series models

DOI10.1080/00949659708811857MaRDI QIDQ4374348zbMATH OpenOpenAlexFDO

Authors Marcella Corduas

Publication date 26 May 1999

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949659708811857

zbMATH Keywords

indirect inferenceARFIMA modellong memory time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

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Cites work

• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• ASYMPTOTICS FOR THE LOW-FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG-MEMORY TIME SERIES
• AUTOMATIC SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG-MEMORY TIME SERIES
• Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series
• Asymptotic properties of least-squares estimates of parameters of the spectrum of a stationary non-deterministic time-series
• Computer Generation of Normal Random Variables
• ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES
• Efficient parameter estimation for self-similar processes
• Fractional differencing
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• Log-periodogram regression of time series with long range dependence
• MODELING LONG-MEMORY PROCESSES FOR OPTIMAL LONG-RANGE PREDICTION
• ON GENERALIZED FRACTIONAL PROCESSES
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS

Cited in

(4)

• Indirect inference for time series using the empirical characteristic function and control variates
• Indirect inference for locally stationary models
• Indirect inference in fractional short-term interest rate diffusions
• INFERENCE ON NONPARAMETRICALLY TRENDING TIME SERIES WITH FRACTIONAL ERRORS

Describes a project that uses

Uses Software

• GAUSS
• longmemo

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