The distribution of the low frequency periodogram ordinates of fractionally differenced series and their inclusion in two estimators of the differencing parameter
DOI10.1080/03610929808832123zbMATH Open1130.62355OpenAlexW2047810695MaRDI QIDQ4386471FDOQ4386471
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
Recommendations
Exact distribution theory in statistics (62E15) Inference from stochastic processes and spectral analysis (62M15)
Cites Work
- Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
- Gaussian semiparametric estimation of long range dependence
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES
- Robustness of whittle-type estimators for time series with long-range dependence
- Title not available (Why is that?)
- Title not available (Why is that?)
- Estimation in long memory time series models
- Identification of fractional differencing autoregressive models†
Cited In (5)
- The bias of lag window estimators of the fractional difference parameter.
- Parameter estimation in low order fractionally differenced ARMA processes
- ASYMPTOTICS FOR THE LOW-FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG-MEMORY TIME SERIES
- REGRESSION OF SPECTRAL ESTIMATORS WITH FRACTIONALLY INTEGRATED TIME SERIES
- ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES
This page was built for publication: The distribution of the low frequency periodogram ordinates of fractionally differenced series and their inclusion in two estimators of the differencing parameter
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4386471)
