A GENERALIZED FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE PROCESS
DOI10.1111/J.1467-9892.1996.TB00268.XzbMATH Open0845.62057OpenAlexW2031932619MaRDI QIDQ4881703FDOQ4881703
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
Recommendations
maximum likelihood estimationsimulationsfractional differencingfractionally integrated processpersistent cyclesGARMA processsunspot dataconditional sum of squares methodlong memory Gegenbauer autoregressive moving-average processUS inflation rates
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Cites Work
- Time series: theory and methods.
- Generalized autoregressive conditional heteroscedasticity
- Title not available (Why is that?)
- Long memory relationships and the aggregation of dynamic models
- Title not available (Why is that?)
- On estimation of a regression model with long-memory stationary errors
- Asymptotic properties of the LSE in a regression model with long-memory stationary errors
- A note on calculating the autocovariances of the fractionally integrated ARMA models
Cited In (32)
- The \(k\)-factor GARMA process with infinite variance innovations
- Estimation of seasonal fractionally integrated processes
- Comparison of standard long memory time series
- A note on calculating autocovariances of long‐memory processes
- 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
- Calculating and analyzing impulse responses for the vector ARFIMA model.
- Semiparametric estimation for seasonal long-memory time series using generalized exponential models
- A wavelet-based approach for modelling exchange rates
- A harmonically weighted filter for cyclical long memory processes
- Estimating a generalized long memory process
- Bayesian estimation of Gegenbauer processes
- Modelling cycles in climate series: the fractional sinusoidal waveform process
- A general frequency domain estimation method for Gegenbauer processes
- 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
- Modification of autoregressive fractionally integrated moving average models for the estimation of persistence
- Modelling structural breaks, long memory and stock market volatility: an overview
- 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
This page was built for publication: A GENERALIZED FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE PROCESS
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4881703)
