Mallows Distance in VARFIMA(0,d, 0) Processes

DOI10.1080/03610918.2011.627101MaRDI QIDQ5299805zbMATH OpenOpenAlexFDO

Authors Sílvia R. C. Lopes, Guilherme Pumi, Karine Zaniol

Publication date 21 June 2013

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2011.627101

zbMATH Keywords

copulasempirical estimationhypothesis testKendall's \(\tau\) coefficientlong range dependencemallows distancesemiparametric estimationVARFIMA processes

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Characterization and structure theory of statistical distributions (62E10) Measures of association (correlation, canonical correlation, etc.) (62H20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A fast likelihood approximation for vector general linear processes with long series: application to fractional differencing
• A Note on Asymptotic Joint Normality
• A semiparametric two-step estimator in a multivariate long memory model
• An introduction to copulas.
• Gaussian semiparametric estimation of multivariate fractionally integrated processes
• scientific article; zbMATH DE number 3626409 (Why is no real title available?)
• Mass transportation problems. Vol. 1: Theory. Vol. 2: Applications
• Maximum likelihood estimation of stationary multivariate ARFIMA processes
• On the invariance principle for sums of independent identically distributed random variables
• Some asymptotic theory for the bootstrap
• The spurious regression of fractionally integrated processes

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