A GENERALIZED FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE PROCESS

DOI10.1111/j.1467-9892.1996.tb00268.xzbMath0845.62057MaRDI QIDQ4881703

Ching-Fan Chung

Publication date: 18 September 1996

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1996.tb00268.x

zbMATH Keywords

maximum likelihood estimation; simulations; fractional differencing; fractionally integrated process; persistent cycles; GARMA process; sunspot data; conditional sum of squares method; long memory Gegenbauer autoregressive moving-average process; US inflation rates

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

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

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