Estimation in long memory time series models

DOI10.1080/03610929208830850zbMath0800.62526OpenAlexW1994098882MaRDI QIDQ3135647

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Publication date: 11 October 1993

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610929208830850

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (2)

The distribution of the low frequency periodogram ordinates of fractionally differenced series and their inclusion in two estimators of the differencing parameter ⋮ Minimum Hellinger distance estimates for a periodically time-varying long memory parameter

Cites Work

• Unnamed Item
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• Parameter estimation in low order fractionally differenced ARMA processes
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• ON ESTIMATION OF LONG-MEMORY TIME SERIES MODELS
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING

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