The CSS and the two-staged methods for parameter estimation in SARFIMA models

DOI10.1155/2011/691058zbMATH Open1229.62121OpenAlexW2063941437WikidataQ58692051 ScholiaQ58692051MaRDI QIDQ642448FDOQ642448

Authors: C. H. Aladag, Cem Kadilar, Erol Egrioglu 

Publication date: 26 October 2011

Published in: Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2011/691058

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Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Title not available (Why is that?)
• Long memory processes and fractional integration in econometrics
• Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series
• Estimation of seasonal fractionally integrated processes
• On the power of unit root tests against fractional alternatives
• Gaussian estimation of parametric spectral density with unknown pole
• A generalized fractionally differencing approach in long-memory modeling
• Semiparametric inference in seasonal and cyclical long memory processes
• Semiparametric robust tests on seasonal or cyclical long memory time series
• A GENERALIZED FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE PROCESS
• Efficient Estimation of Seasonal Long‐Range‐Dependent Processes
• A note on calculating autocovariances of long‐memory processes
• Estimating seasonal long-memory processes: a Monte Carlo study
• On the effect of seasonal adjustment on the log-periodogram regression
• Seasonal misspecification in the context of fractionally integrated univariate time series
• Seasonal long memory in the aggregate output
• A closed formula for the Durbin-Levinson's algorithm in seasonal fractionally integrated pro\-ces\-ses

Cited In (2)

• Bias correction for time series factor models
• Estimation for seasonal fractional ARIMA with stable innovations via the empirical characteristic function method

Uses Software

• longmemo

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