GENERALISED LEAST SQUARES (GLS) ESTIMATION OF THE DIFFERENCE PARAMETER IN LONG MEMORY (ARFIMA) PROCESSES

DOI10.1081/STA-120013017MaRDI QIDQ4792117zbMATHFDO

Authors Richard L. Hudson, C. R. O. Lawoko

Publication date 11 February 2003

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

zbMATH Keywords

tablessimulations

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• GENERALIZED LEAST SQUARES ESTIMATION OF ARMA MODELS
• Estimating a generalized long memory process
• A generalized least squares estimation method for VARMA models
• scientific article; zbMATH DE number 795280
• Minimum distance estimation of ARFIMA processes

Cites work

• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• scientific article; zbMATH DE number 897115 (Why is no real title available?)
• 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
• Bias in the sample autocorrelations of fractional noise
• ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES
• Fractional differencing
• Semiparametric analysis of long-memory time series
• Some Recent Developments in Time Series Analysis, Correspondent Paper
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• The Fractional Unit Root Distribution
• The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
• Time series: theory and methods.

Cited in

(2)

• Some Properties of the Normalized Periodogram of a Fractionally Integrated Separable Spatial ARMA (FISSARMA) Model
• Asymptotics for LS, GLS, and feasible GLS statistics in an AR(1) model with conditional heteroskedasticity

Describes a project that uses

Uses Software

• longmemo

This page was built for publication: GENERALISED LEAST SQUARES (GLS) ESTIMATION OF THE DIFFERENCE PARAMETER IN LONG MEMORY (ARFIMA) PROCESSES

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4792117)