Time Domain Estimation of Long Range Dependence

DOI10.1080/02522667.1997.10699355MaRDI QIDQ4239549zbMATH OpenOpenAlexFDO

Authors

Publication date 13 June 2000

Published in Journal of Information and Optimization Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02522667.1997.10699355

zbMATH Keywords

fractionally differenced ARIMA modelsmean square errortime domain

Mathematics Subject Classification ID

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

Recommendations

• Fitting a fractional ARIMA model to time series data
• ESTIMATION OF THE FRACTIONAL DIFFERENCE PARAMETER IN THE ARIMA(p, d, q) MODEL USING THE SMOOTHED PERIODOGRAM
• scientific article; zbMATH DE number 772913

Cites work

• Fitting a fractional ARIMA model to time series data
• Fractional differencing
• LAG WINDOW ESTIMATION OF THE DEGREE OF DIFFERENCING IN FRACTIONALLY INTEGRATED TIME SERIES MODELS
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• ON ESTIMATION OF LONG-MEMORY TIME SERIES MODELS
• Parameter estimation in low order fractionally differenced ARMA processes
• REGRESSION OF SPECTRAL ESTIMATORS WITH FRACTIONALLY INTEGRATED TIME SERIES
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS

Cited in

(11)

• Estimation of the degree of differencing of an ARIMA process
• Estimating the Hurst parameter in fractional \(\text{ARIMA} (p,d,q)\) models via the quasi-likelihood method
• Maximum likelihood estimation for a fractionally differenced autoregressive model on a two-dimensional lattice
• The bias of lag window estimators of the fractional difference parameter.
• Invariance of the first difference in ARFIMA models
• ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
• ESTIMATION OF THE FRACTIONAL DIFFERENCE PARAMETER IN THE ARIMA(p, d, q) MODEL USING THE SMOOTHED PERIODOGRAM
• Fitting a fractional ARIMA model to time series data
• scientific article; zbMATH DE number 772913 (Why is no real title available?)
• Estimating long-range dependence in the presence of periodicity: An empirical study
• Estimation of the memory parameter by fitting fractionally differenced autoregressive models

This page was built for publication: Time Domain Estimation of Long Range Dependence

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4239549)