Efficient Estimation of Seasonal Long‐Range‐Dependent Processes
DOI10.1111/J.1467-9892.2005.00447.XzbMATH Open1097.62092OpenAlexW3121785199MaRDI QIDQ5487367FDOQ5487367
Authors: Wilfredo Palma, Ngai Hang Chan 
Publication date: 19 September 2006
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.2005.00447.x
Recommendations
- Efficient parameter estimation for self-similar processes
- Gaussian semiparametric estimation of long range dependence
- ASYMPTOTIC THEORY FOR MAXIMUM LIKELIHOOD ESTIMATION OF THE MEMORY PARAMETER IN STATIONARY GAUSSIAN PROCESSES
- Inference of seasonal long-memory aggregate time series
- Estimating seasonal long-memory processes: a Monte Carlo study
Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)
Cites Work
- Title not available (Why is that?)
- Time series: theory and methods.
- Asymptotic theory of statistical inference for time series
- A k-Factor GARMA Long-memory Model
- Gaussian estimation of parametric spectral density with unknown pole
- Semiparametric inference in seasonal and cyclical long memory processes
- Central limit theorems for quadratic forms in random variables having long-range dependence
- A note on calculating autocovariances of long‐memory processes
- Modelling long-memory time series with finite or infinite variance: a general approach
- (MIS)SPECIFICATION OF LONG MEMORY IN SEASONAL TIME SERIES
- Long memory with seasonal effects
- State space modeling of long-memory processes
Cited In (15)
- Estimation of seasonal fractionally integrated processes
- Robust estimation of fractional seasonal processes: modeling and forecasting daily average \(\mathrm{SO}_2\) concentrations
- Estimation methods for stationary Gegenbauer processes
- A semiparametric approach to estimate two seasonal fractional parameters in the SARFIMA model
- Fractionally differenced Gegenbauer processes with long memory: a review
- Semiparametric estimation for seasonal long-memory time series using generalized exponential models
- A harmonically weighted filter for cyclical long memory processes
- Relative efficiency of OLSE and COTE for seasonal autoregressive disturbances
- Modelling cycles in climate series: the fractional sinusoidal waveform process
- Large-sample properties of the periodogram estimator of seasonally persistent processes
- Inference of Seasonal Long‐memory Time Series with Measurement Error
- The CSS and the two-staged methods for parameter estimation in SARFIMA models
- Inference of seasonal long-memory aggregate time series
- A wavelet Whittle estimator of generalized long-memory stochastic volatility
- The ARMA alphabet soup: a tour of ARMA model variants
This page was built for publication: Efficient Estimation of Seasonal Long‐Range‐Dependent Processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5487367)
