The bias of lag window estimators of the fractional difference parameter.

DOI10.1007/BF02936183zbMath1042.62079OpenAlexW2031720631MaRDI QIDQ1432802

Neville C. Weber, R. L. Hunt, M. Shelton Peiris

Publication date: 22 June 2004

Published in: Journal of Applied Mathematics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02936183

zbMATH Keywords

biasBartlett windowfractionally differenced ARMA modelslag window estimators

Mathematics Subject Classification ID

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

Cites Work

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• Time series: theory and methods.
• Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series
• REGRESSION OF SPECTRAL ESTIMATORS WITH FRACTIONALLY INTEGRATED TIME SERIES
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• LAG WINDOW ESTIMATION OF THE DEGREE OF DIFFERENCING IN FRACTIONALLY INTEGRATED TIME SERIES MODELS

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