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

DOI10.1155/2011/691058MaRDI QIDQ642448zbMATH OpenOpenAlexWikidataFDO

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)

Copyright license Creative Commons Attribution 4.0 International

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

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• A GENERALIZED FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE PROCESS
• A closed formula for the Durbin-Levinson's algorithm in seasonal fractionally integrated pro\-ces\-ses
• A generalized fractionally differencing approach in long-memory modeling
• A note on calculating autocovariances of long‐memory processes
• Efficient Estimation of Seasonal Long‐Range‐Dependent Processes
• Estimating seasonal long-memory processes: a Monte Carlo study
• Estimation of seasonal fractionally integrated processes
• Gaussian estimation of parametric spectral density with unknown pole
• Long memory processes and fractional integration in econometrics
• On the effect of seasonal adjustment on the log-periodogram regression
• On the power of unit root tests against fractional alternatives
• Seasonal long memory in the aggregate output
• Seasonal misspecification in the context of fractionally integrated univariate time series
• Semiparametric inference in seasonal and cyclical long memory processes
• Semiparametric robust tests on seasonal or cyclical long memory time series
• Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series

Cited in

(2)

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

Describes a project that uses

Uses Software

• longmemo

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