Parametric estimation for ARFIMA models via spectral methods

DOI10.1007/BF02511572zbMath1089.62104MaRDI QIDQ2493248

Mariagrazia Granturco, Mauro Coli, Lara Fontanella

Publication date: 12 June 2006

Published in: Statistical Methods and Applications (Search for Journal in Brave)

zbMATH Keywords

tablesMonte CarloKarhunen Loève decompositionARFIMA processesKLE-WL algorithmWhittle MLE

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Uses Software

• Matlab

Cites Work

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• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• Characterization of the partial autocorrelation function
• Long memory processes and fractional integration in econometrics
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• A Nonparametric Test for I(0)

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