Fractionally differenced Gegenbauer processes with long memory: a review
From MaRDI portal
Publication:1630399
DOI10.1214/18-STS649zbMath1403.62160OpenAlexW2886654105MaRDI QIDQ1630399
G. S. Dissanayake, M. Shelton Peiris, Tommaso Proietti
Publication date: 10 December 2018
Published in: Statistical Science (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.ss/1534147230
time seriesinvertibilitylong memorystationarityspectral densityvolatilityfractional differenceheteroskedasticityGegenbauer processeconometric research
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (5)
A harmonically weighted filter for cyclical long memory processes ⋮ Humbert generalized fractional differenced ARMA processes ⋮ Modelling cycles in climate series: the fractional sinusoidal waveform process ⋮ Inference for estimators of generalized long memory processes ⋮ A general frequency domain estimation method for Gegenbauer processes
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries
- Properties of seasonal long memory processes
- Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
- An introduction to volatility models with indices
- Estimation of seasonal fractionally integrated processes
- Semiparametric estimation for seasonal long-memory time series using generalized exponential models
- On properties of the second order generalized autoregressive GAR(2) model with index
- Fractionally integrated generalized autoregressive conditional heteroskedasticity
- Time series: theory and methods.
- Possible long-range dependence in fractional random fields.
- On the power of unit root tests against fractional alternatives
- When long memory meets the Kalman filter: a comparative study
- State space modeling of Gegenbauer processes with long memory
- State space modeling of long-memory processes
- Generalized autoregressive conditional heteroscedasticity
- Gaussian estimation of parametric spectral density with unknown pole
- A generalized fractionally differencing approach in long-memory modeling
- Long memory processes and fractional integration in econometrics
- Semiparametric Inference in Seasonal and Cyclical Long Memory Processes
- Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis
- Estimation of Time-Varying Long Memory Parameter Using Wavelet Method
- Long‐Memory Time Series
- Refined Inference on Long Memory in Realized Volatility
- Estimation of Long-Memory Time Series Models: a Survey of Different Likelihood-Based Methods
- Testing Fractional Order of Long Memory Processes: A Monte Carlo Study
- Generalized Autoregressive (GAR) Model: A Comparison of Maximum Likelihood and Whittle Estimation Procedures Using a Simulation Study
- Fractional differencing
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- Coefficient Identities for Powers of Taylor and Dirichlet Series
- ON GENERALIZED FRACTIONAL PROCESSES
- A k-Factor GARMA Long-memory Model
- MODELING LONG-MEMORY PROCESSES FOR OPTIMAL LONG-RANGE PREDICTION
- (MIS)SPECIFICATION OF LONG MEMORY IN SEASONAL TIME SERIES
- Fitting long-memory models by generalized linear regression
- On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity
- ASYMPTOTICS FOR GENERAL FRACTIONALLY INTEGRATED PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS
- Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series
- Aggregation of random parameters Ornstein‐Uhlenbeck or AR processes: some convergence results
- A GENERALIZED FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE PROCESS
- Long-Memory Processes
- Approximate Asymptotic Variance-Covariance Matrix for the Whittle Estimators of GAR(1) Parameters
- Periodic Seasonal Reg-ARFIMA–GARCH Models for Daily Electricity Spot Prices
- How can we Define the Concept of Long Memory? An Econometric Survey
- A Fractional Dickey-Fuller Test for Unit Roots
- Efficient Estimation of Seasonal Long‐Range‐Dependent Processes
- Robust estimation of GARMA model parameters with an application to cointegration among interest rates of industrialized countries
This page was built for publication: Fractionally differenced Gegenbauer processes with long memory: a review
