Modification of autoregressive fractionally integrated moving average models for the estimation of persistence

DOI10.1080/02664760021871zbMATH Open0937.62125OpenAlexW2031770391MaRDI QIDQ4935544FDOQ4935544

Authors: Erhard Reschenhofer 

Publication date: 31 January 2000

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664760021871

Recommendations

• On continuous-time autoregressive fractionally integrated moving average processes
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• Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models
• Bias Correction of Persistence Measures in Fractionally Integrated Models
• A GENERALIZED FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE PROCESS

zbMATH Keywords

ARFIMA processesestimated spectraUS GNP

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Cited In (3)

• Testing for persistence change in fractionally integrated models: an application to world inflation rates
• ASYMPTOTIC INFERENCE FOR NONSTATIONARY FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE MODELS
• Bias Correction of Persistence Measures in Fractionally Integrated Models

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