Impact of the periodicity and trend on the FD parameter estimation

DOI10.1080/10629360600570863zbMath1108.62084OpenAlexW2159184308MaRDI QIDQ3432731

Shakir M. Hussain, Abdullah Almasri, Björn Holmquist

Publication date: 18 April 2007

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10629360600570863

zbMATH Keywords

trenddiscrete wavelet transformperiodicityWhittle's estimatorlong-memory

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Numerical methods for wavelets (65T60)

Uses Software

• longmemo

Cites Work

• Efficient parameter estimation for self-similar processes
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• On estimation of a regression model with long-memory stationary errors
• Time series: theory and methods.
• Estimation and information in stationary time series
• An Efficient Taper for Potentially Overdifferenced Long-memory Time Series
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Tests for Hurst effect
• A wavelet-based joint estimator of the parameters of long-range dependence
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