Minimum distance estimation of stationary and non‐stationary ARFIMA processes
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Publication:135663
DOI10.1111/j.1368-423x.2007.00202.xzbMath1116.62096OpenAlexW2158904535MaRDI QIDQ135663
Publication date: 1 February 2007
Published in: The Econometrics Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1368-423x.2007.00202.x
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)
Related Items (10)
Robust minimum distance estimators for the CARR(1,1) model ⋮ Minimum distance estimation of ARFIMA processes ⋮ Modified information criteria and selection of long memory time series models ⋮ Minimum Hellinger distance estimation of an ARFIMA process ⋮ NONSTATIONARITY-EXTENDED WHITTLE ESTIMATION ⋮ nsarfima ⋮ HETEROSKEDASTICITY-ROBUST TESTING FOR A FRACTIONAL UNIT ROOT ⋮ On least squares estimation for long-memory lattice processes ⋮ Minimum Hellinger distance estimates for a periodically time-varying long memory parameter ⋮ Minimum distance estimation of locally stationary moving average processes
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