GENERALISED LEAST SQUARES (GLS) ESTIMATION OF THE DIFFERENCE PARAMETER IN LONG MEMORY (ARFIMA) PROCESSES
From MaRDI portal
Publication:4792117
DOI10.1081/STA-120013017zbMath1009.62076MaRDI QIDQ4792117
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)
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)
Related Items
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Time series: theory and methods.
- Semiparametric analysis of long-memory time series
- 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
- Fractional differencing
- Some Recent Developments in Time Series Analysis, Correspondent Paper
- 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