Estimation of seasonal fractionally integrated processes

DOI10.1016/j.csda.2004.08.004zbMath1432.62313OpenAlexW2002889738MaRDI QIDQ959186

Alexandre L. Rodrigues, Wilfredo Palma, Valdério Anselmo Reisen

Publication date: 11 December 2008

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10533/177791

zbMATH Keywords

seasonalitylong memorymaximum-likelihood estimatesfractional differencingperiodogram regression

Mathematics Subject Classification ID

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

Related Items (15)

A harmonically weighted filter for cyclical long memory processes ⋮ Estimating seasonal long-memory processes: a Monte Carlo study ⋮ Fractionally differenced Gegenbauer processes with long memory: a review ⋮ Humbert generalized fractional differenced ARMA processes ⋮ On a class of minimum contrast estimators for Gegenbauer random fields ⋮ Bayesian estimation of Gegenbauer long memory processes with stochastic volatility: methods and applications ⋮ The CSS and the two-staged methods for parameter estimation in SARFIMA models ⋮ A semiparametric approach to estimate two seasonal fractional parameters in the SARFIMA model ⋮ Seasonal fractional ARIMA with stable innovations ⋮ Robust estimation of fractional seasonal processes: modeling and forecasting daily average \(\mathrm{SO}_2\) concentrations ⋮ Thek-factor GARMA Process with Infinite Variance Innovations ⋮ Robust estimation in long-memory processes under additive outliers ⋮ Local bootstrap approaches for fractional differential parameter estimation in ARFIMA models ⋮ Generalised long-memory GARCH models for intra-daily volatility ⋮ Correlated Errors in the Parameters Estimation of the ARFIMA Model: A Simulated Study

Uses Software

• Ox
• longmemo

Cites Work

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• Asymptotic theory of statistical inference for time series
• State space modeling of long-memory processes
• A generalized fractionally differencing approach in long-memory modeling
• Semiparametric Inference in Seasonal and Cyclical Long Memory Processes
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Fractional differencing
• ON GENERALIZED FRACTIONAL PROCESSES
• A k-Factor GARMA Long-memory Model
• (MIS)SPECIFICATION OF LONG MEMORY IN SEASONAL TIME SERIES
• ESTIMATION OF THE FRACTIONAL DIFFERENCE PARAMETER IN THE ARIMA(p, d, q) MODEL USING THE SMOOTHED PERIODOGRAM
• ON GENERALIZED FRACTIONAL PROCESSES – A CORRECTION
• A comparison of estimation methods in non-stationary ARFIMA processes
• Predictors for Seasonal and Nonseasonal Fractionally Integrated ARIMA Models
• ESTIMATION OF PARAMETERS IN ARFIMA PROCESSES: A SIMULATION STUDY
• A GENERALIZED FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE PROCESS

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