A GENERALIZED FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE PROCESS

DOI10.1111/J.1467-9892.1996.TB00268.XMaRDI QIDQ4881703zbMATH OpenOpenAlexFDO

Authors 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 estimationsimulationsfractional differencingfractionally integrated processpersistent cyclesGARMA processsunspot dataconditional sum of squares methodlong memory Gegenbauer autoregressive moving-average processUS inflation rates

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• scientific article; zbMATH DE number 3824228 (Why is no real title available?)
• scientific article; zbMATH DE number 3357844 (Why is no real title available?)
• A note on calculating the autocovariances of the fractionally integrated ARMA models
• Asymptotic properties of the LSE in a regression model with long-memory stationary errors
• Generalized autoregressive conditional heteroscedasticity
• Long memory relationships and the aggregation of dynamic models
• On estimation of a regression model with long-memory stationary errors
• Time series: theory and methods.

Cited in

(32)

• The \(k\)-factor GARMA process with infinite variance innovations
• Estimation of seasonal fractionally integrated processes
• A note on calculating autocovariances of long‐memory processes
• Comparison of standard long memory time series
• A bivariate fractionally cointegrated relationship in the context of cyclical structures
• Estimation methods for stationary Gegenbauer processes
• Estimating parameters of a k-factor GIGARCH process
• Fractionally differenced Gegenbauer processes with long memory: a review
• On the eigenstructure of generalized fractional processes.
• State space modeling of Gegenbauer processes with long memory
• Semiparametric estimation for seasonal long-memory time series using generalized exponential models
• A wavelet-based approach for modelling exchange rates
• Calculating and analyzing impulse responses for the vector ARFIMA model.
• A harmonically weighted filter for cyclical long memory processes
• Estimating a generalized long memory process
• Bayesian estimation of Gegenbauer processes
• A general frequency domain estimation method for Gegenbauer processes
• Modelling cycles in climate series: the fractional sinusoidal waveform process
• Spurious regressions between stationary generalized long memory processes
• On a class of minimum contrast estimators for Gegenbauer random fields
• Estimation ofk-Factor GIGARCH Process: A Monte Carlo Study
• Conditional sum of squares estimation of \(k\)-factor GARMA models
• The CSS and the two-staged methods for parameter estimation in SARFIMA models
• Testing for long memory in the presence of non-linear deterministic trends with Chebyshev polynomials
• On the computation of autocovariances for generalized Gegenbauer processes
• Fractionally Integrated Moving Average Stable Processes With Long-Range Dependence
• Modelling structural breaks, long memory and stock market volatility: an overview
• Modification of autoregressive fractionally integrated moving average models for the estimation of persistence
• ON GENERALIZED FRACTIONAL PROCESSES
• LONG MEMORY AND PERSISTENCE IN DOLLAR-BASED REAL EXCHANGE RATES
• The cyclical structure of the UK inflation rate: 1210--2016
• Robust estimation of GARMA model parameters with an application to cointegration among interest rates of industrialized countries

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