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

DOI10.1081/STA-120013017zbMATH Open1009.62076MaRDI QIDQ4792117FDOQ4792117

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

Publication date: 11 February 2003

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

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zbMATH Keywords

tablessimulations

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Time series: theory and methods.
• Title not available (Why is that?)
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Semiparametric analysis of long-memory time series
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• The Fractional Unit Root Distribution
• Title not available (Why is that?)
• The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
• ASYMPTOTICS FOR THE LOW-FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG-MEMORY TIME SERIES
• ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES
• Some Recent Developments in Time Series Analysis, Correspondent Paper
• Bias in the sample autocorrelations of fractional noise

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

Uses Software

• longmemo

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