A comparison of estimation methods in non-stationary ARFIMA processes
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Publication:4673863
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Cites work
- A comparison of techniques of estimation in long-memory processes.
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- Comparing the bias and misspecification in ARFIMA models
- ESTIMATION OF PARAMETERS IN ARFIMA PROCESSES: A SIMULATION STUDY
- ESTIMATION OF THE FRACTIONAL DIFFERENCE PARAMETER IN THE ARIMA(p, d, q) MODEL USING THE SMOOTHED PERIODOGRAM
- ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES
- Fractional differencing
- Gaussian semiparametric estimation of long range dependence
- Gaussian Semiparametric Estimation of Non-stationary Time Series
- scientific article; zbMATH DE number 5345387 (Why is no real title available?)
- scientific article; zbMATH DE number 847242 (Why is no real title available?)
- Invariance of the first difference in ARFIMA models
- Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
- Log-periodogram regression of time series with long range dependence
- NON-GAUSSIAN LOG-PERIODOGRAM REGRESSION
- Non-stationary log-periodogram regression
- Plug‐in Selection of the Number of Frequencies in Regression Estimates of the Memory Parameter of a Long‐memory Time Series
- Some simulations and applications of forecasting long-memory time-series models
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series
Cited in
(17)- Minimum distance estimation of stationary and non‐stationary ARFIMA processes
- Non-parametric estimation of time varying AR(1)-processes with local stationarity and periodicity
- Minimum distance estimation of ARFIMA processes
- Invariance of the first difference in ARFIMA models
- Estimation Methods of the Long Memory Parameter: Monte Carlo Analysis and Application
- Wavelets for estimating the fractional parameter in non-stationary ARFIMA processes
- COMPARISON OF SOME NON-LINEAR AUTOREGRESSIVE PROCESSES
- Comparing the bias and misspecification in ARFIMA models
- ESTIMATION OF PARAMETERS IN ARFIMA PROCESSES: A SIMULATION STUDY
- scientific article; zbMATH DE number 7154731 (Why is no real title available?)
- Estimating seasonal long-memory processes: a Monte Carlo study
- Correlated Errors in the Parameters Estimation of the ARFIMA Model: A Simulated Study
- Parametric and semiparametric estimations of stationary univariate ARFIMA models
- Parameter estimation in Manneville-Pomeau processes
- The CSS and the two-staged methods for parameter estimation in SARFIMA models
- A closed formula for the Durbin-Levinson's algorithm in seasonal fractionally integrated pro\-ces\-ses
- Estimation of seasonal fractionally integrated processes
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