Estimation of the memory parameter by fitting fractionally differenced autoregressive models
DOI10.1016/J.JMVA.2006.01.003zbMATH Open1101.62073OpenAlexW2142728798MaRDI QIDQ853943FDOQ853943
Authors: R. J. Bhansali, L. Giraitis, Piotr Kokoszka 
Publication date: 7 December 2006
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2006.01.003
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Cited In (15)
- Estimation of the Memory Parameters of the Fractionally Integrated Separable Spatial Autoregressive (FISSAR(1, 1)) Model: A Simulation Study
- Maximum likelihood estimators of a long-memory process from discrete observations
- Plug‐in Selection of the Number of Frequencies in Regression Estimates of the Memory Parameter of a Long‐memory Time Series
- Parameter estimates for fractional autoregressive spatial processes
- Frequency domain bootstrap for ratio statistics under long-range dependence
- A generalized fractionally differencing approach in long-memory modeling
- A generalized portmanteau test for independence between two stationary time series
- Contiguity of fractional differencing
- Approximations and limit theory for quadratic forms of linear processes
- Long memory conditional random fields on regular lattices
- Adaptive wavelet-based estimator of the memory parameter for stationary Gaussian processes
- The FEXP estimator for potentially non-stationary linear time series.
- Adaptive semiparametric wavelet estimator and goodness-of-fit test for long-memory linear processes
- MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS
- Broadband semi-parametric estimation of long-memory time series by fractional exponential models
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