DIFFERENTIAL GEOMETRY OFARFIMAPROCESSES

DOI10.1081/STA-100105703MaRDI QIDQ4540694zbMATH OpenFDO

Authors Nalini Ravishanker

Publication date 28 July 2002

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

Full work available at URL https://doi.org/10.1081/STA-100105703

zbMATH Keywords

affine transformationscurvaturefractional differencingRiemannian metric tensor

Mathematics Subject Classification ID

Time series analysis of dynamical systems (37M10) Methods of local Riemannian geometry (53B21) Local differential geometry (53B99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• Asymptotic efficiency of statistical estimators: concepts and higher order asymptotic efficiency
• Defining the curvature of a statistical problem (with applications to second order efficiency)
• DIFFERENTIAL GEOMETRY OF ARMA MODELS
• Differential-geometrical methods in statistics
• Efficient parameter estimation for self-similar processes
• ESTIMATION IN LONG-MEMORY TIME SERIES MODEL
• scientific article; zbMATH DE number 1199778 (Why is no real title available?)
• scientific article; zbMATH DE number 217456 (Why is no real title available?)
• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• On the second order asymptotic efficiency of estimators of Gaussian ARMA processes

Cited in

(2)

• Auto-regressive moving-average discrete-time dynamical systems and autocorrelation functions on real-valued Riemannian matrix manifolds
• Hyperbolic decomposition of Dirichlet distance for ARMA models

Describes a project that uses

Uses Software

• longmemo

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