Estimation for seasonal fractional ARIMA with stable innovations via the empirical characteristic function method

zbMath1360.62460arXiv1211.7262MaRDI QIDQ5739666

Mor Ndongo, Simplice Dossou-Gbété, Abdou Kâ Diongue, Aliou Diop

Publication date: 19 July 2016

Full work available at URL: https://arxiv.org/abs/1211.7262

zbMATH Keywords

stable distributionslong-memory time seriestwo-step methodMarkov chains Monte CarloWhittle estimateECF estimateseasonal fractional ARIMA

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Monte Carlo methods (65C05) Stable stochastic processes (60G52)

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