Estimating the Hurst parameter in fractional \(\text{ARIMA} (p,d,q)\) models via the quasi-likelihood method

DOI10.1016/S0378-4754(99)00020-8zbMath0931.62079OpenAlexW2032614865MaRDI QIDQ1299885

Yan-Xia Lin, Riccardo Biondini

Publication date: 21 February 2000

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-4754(99)00020-8

zbMATH Keywords

quasi-likelihoodHurst parameterfractional ARIMA(p,d,q) model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

Related Items (1)

Model identification of ARIMA family using genetic algorithms

Cites Work

• Unnamed Item
• A practical procedure for estimation of linear models via asymptotic quasi-likelihood
• Quasi-Likelihood and Optimal Estimation, Correspondent Paper
• Long-Term Memory in Stock Market Prices
• Consistency of the Asymptotic Quasi-Likelihood Estimate on Linear Models

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