Inference of seasonal long-memory aggregate time series
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Publication:1932238
DOI10.3150/11-BEJ374zbMath1329.62374arXiv1211.5513OpenAlexW2135402513MaRDI QIDQ1932238
Publication date: 17 January 2013
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1211.5513
consistencyasymptotic normalityspectral densityWhittle likelihoodseasonal auto-regressive fractionally integrated moving-average modelsspectral maximum likelihood estimator
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)
Related Items (7)
Realized stochastic volatility with general asymmetry and long memory ⋮ Inference of seasonal long-memory aggregate time series ⋮ Cointegrated dynamics for a generalized long memory process: application to interest rates ⋮ On a class of minimum contrast estimators for Gegenbauer random fields ⋮ Robust estimation of fractional seasonal processes: modeling and forecasting daily average \(\mathrm{SO}_2\) concentrations ⋮ Inference of Seasonal Long‐memory Time Series with Measurement Error ⋮ Semiparametric estimation for seasonal long-memory time series using generalized exponential models
Uses Software
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