Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models
From MaRDI portal
Publication:951873
DOI10.1016/S0167-9473(02)00212-8zbMath1429.62391OpenAlexW2164718628WikidataQ63628682 ScholiaQ63628682MaRDI QIDQ951873
Jurgen A. Doornik, Marius Ooms
Publication date: 4 November 2008
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0167-9473(02)00212-8
long memorybiasARFIMArestricted maximum likelihood estimatormodified profile likelihoodtime-series regression model likelihood
Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)
Related Items
Modelling structural breaks, long memory and stock market volatility: an overview, Unnamed Item, Minimum distance estimation of ARFIMA processes, Modified information criteria and selection of long memory time series models, Long memory with stochastic variance model: a recursive analysis for US inflation, Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes, An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series, Bias Correction of Persistence Measures in Fractionally Integrated Models, BIAS CORRECTION OF SEMIPARAMETRIC LONG MEMORY PARAMETER ESTIMATORS VIA THE PREFILTERED SIEVE BOOTSTRAP, Efficient estimation method for generalized ARFIMA models, Fast approximate likelihood evaluation for stable VARFIMA processes, A regularised estimator for long-range dependent processes, Cointegrated dynamics for a generalized long memory process: application to interest rates, On the asymptotic distribution of sample autocovariance differences of long-memory processes, Modelling cycles in climate series: the fractional sinusoidal waveform process, THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS, The Volatility of Realized Volatility, Confidence intervals for long memory regressions, Second special issue on computational econometrics, 2nd special issue on matrix computations and statistics, A FAST FRACTIONAL DIFFERENCE ALGORITHM, Maximum likelihood estimation of stationary multivariate ARFIMA processes, Likelihood‐based Analysis of a Class of Generalized Long‐Memory Time Series Models, The exact maximum likelihood-based test for fractional cointegration: Critical values, power and size, Using information quality for volatility model combinations, Accumulative prediction error and the selection of time series models, Computationally efficient methods for two multivariate fractionally integrated models, Local bootstrap approaches for fractional differential parameter estimation in ARFIMA models, Assessing influence in Gaussian long-memory models, Bayesian Inference for ARFIMA Models, Parametric bootstrap methods for bias correction in linear mixed models, Fast Bayesian estimation for VARFIMA processes with stable errors, Bayes estimation of Moran–Downton bivariate exponential distribution based on censored samples, Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models, Higher-order improvements of the sieve bootstrap for fractionally integrated processes
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Estimation and testing of regression disturbances based on modified likelihood functions
- Estimating fractionally integrated time series models
- State space modeling of long-memory processes
- Penalised maximum likelihood estimation for fractional Gaussian processes
- Inference and Forecasting for ARFIMA Models With an Application to US and UK Inflation
- Fractional differencing
- An algorithm for the exact likelihood of a mixed autoregressive-moving average process
- BAYESIAN ANALYSIS OF VECTOR ARFIMA PROCESSES
- Bias Reduction of Autoregressive Estimates in Time Series Regression Model through Restricted Maximum Likelihood
- Bias reduction of maximum likelihood estimates
- Statistical algorithms for models in state space using SsfPack 2.2
- Bayesian inference for variance components using only error contrasts