Efficient Estimation of Seasonal Long‐Range‐Dependent Processes

DOI10.1111/J.1467-9892.2005.00447.XMaRDI QIDQ5487367zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

asymptotic normalityconsistencyspectral densitymaximum likelihood estimate

Mathematics Subject Classification ID

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)

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

Cites work

• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• (MIS)SPECIFICATION OF LONG MEMORY IN SEASONAL TIME SERIES
• A k-Factor GARMA Long-memory Model
• A note on calculating autocovariances of long‐memory processes
• Asymptotic theory of statistical inference for time series
• Central limit theorems for quadratic forms in random variables having long-range dependence
• Gaussian estimation of parametric spectral density with unknown pole
• Long memory with seasonal effects
• Modelling long-memory time series with finite or infinite variance: a general approach
• Semiparametric inference in seasonal and cyclical long memory processes
• State space modeling of long-memory processes
• Time series: theory and methods.

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
• The CSS and the two-staged methods for parameter estimation in SARFIMA models
• Inference of Seasonal Long‐memory Time Series with Measurement Error
• 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)