Efficient Estimation of Seasonal Long‐Range‐Dependent Processes
DOI10.1111/J.1467-9892.2005.00447.XzbMATH Open1097.62092OpenAlexW3121785199MaRDI QIDQ5487367FDOQ5487367
Ngai Hang Chan, Wilfredo Palma
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
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)
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- Modelling long-memory time series with finite or infinite variance: a general approach
- (MIS)SPECIFICATION OF LONG MEMORY IN SEASONAL TIME SERIES
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Cited In (14)
- 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
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