The distribution of the low frequency periodogram ordinates of fractionally differenced series and their inclusion in two estimators of the differencing parameter

DOI10.1080/03610929808832123MaRDI QIDQ4386471zbMATH OpenOpenAlexFDO

Authors Louise Swift

Publication date 1998

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610929808832123

zbMATH Keywords

fractional differencinglong memory time seriesGPH estimator

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Inference from stochastic processes and spectral analysis (62M15)

Recommendations

• ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES
• ASYMPTOTICS FOR THE LOW-FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG-MEMORY TIME SERIES
• Parameter estimation in low order fractionally differenced ARMA processes

Cites work

• scientific article; zbMATH DE number 3550006 (Why is no real title available?)
• scientific article; zbMATH DE number 472980 (Why is no real title available?)
• ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES
• Estimation in long memory time series models
• Gaussian semiparametric estimation of long range dependence
• Identification of fractional differencing autoregressive models^†
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• Robustness of whittle-type estimators for time series with long-range dependence
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS

Cited in

(5)

• REGRESSION OF SPECTRAL ESTIMATORS WITH FRACTIONALLY INTEGRATED TIME SERIES
• The bias of lag window estimators of the fractional difference parameter.
• Parameter estimation in low order fractionally differenced ARMA processes
• ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES
• ASYMPTOTICS FOR THE LOW-FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG-MEMORY TIME SERIES

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