STOCHASTIC ORDERS OF MAGNITUDE ASSOCIATED WITH TWO-STAGE ESTIMATORS OF FRACTIONAL ARIMA SYSTEMS

DOI10.1111/j.1467-9892.1995.tb00225.xzbMath0810.62084OpenAlexW2046300173MaRDI QIDQ4324819

Jonathan H. Wright

Publication date: 2 March 1995

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1995.tb00225.x

zbMATH Keywords

two-stage estimatorssemi-parametric estimatorslong-memory modelsfractional autoregressive integrated moving-average systemsstochastic order of magnitude

Mathematics Subject Classification ID

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

Related Items (3)

Sign tests for long-memory time series ⋮ Modified information criteria and selection of long memory time series models ⋮ Testing the Null Hypothesis of Nonstationary Long Memory Against the Alternative Hypothesis of a Nonlinear Ergodic Model

Cites Work

• Semiparametric analysis of long-memory time series
• The Stochastic Difference Between Econometric Statistics
• Long-Term Memory in Stock Market Prices

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