Minimum distance estimation of k-factors GARMA processes

DOI10.1016/J.SPL.2008.06.027zbMATH Open1489.62282OpenAlexW2024780044MaRDI QIDQ958951FDOQ958951

Authors: Euloge F. Kouamé, Ouagnina Hili 

Publication date: 10 December 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.06.027

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Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and spectral analysis (62M15)

Cites Work

• Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series
• Title not available (Why is that?)
• Gaussian semiparametric estimation of long range dependence
• On the invertibility of fractionally differenced ARIMA processes
• Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series
• A k-Factor GARMA Long-memory Model
• Gaussian estimation of parametric spectral density with unknown pole
• A generalized fractionally differencing approach in long-memory modeling
• Estimating a generalized long memory process
• ON GENERALIZED FRACTIONAL PROCESSES
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Cited In (9)

• The \(k\)-factor GARMA process with infinite variance innovations
• Minimum distance estimation of locally stationary moving average processes
• Estimation methods for stationary Gegenbauer processes
• Estimating parameters of a \(k\)-factor GIGARCH process
• A new time domain estimation of \(k\)-factors GARMA processes
• Bayesian estimation of Gegenbauer processes
• Mallows Distance in VARFIMA(0,d, 0) Processes
• Conditional sum of squares estimation of \(k\)-factor GARMA models
• Minimum distance estimation of ARFIMA processes

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