Small Sample Properties of Frequency Domain Estimators for the Fractional Model

DOI10.1081/SAC-200047081zbMath1061.62144OpenAlexW2058112605MaRDI QIDQ4678886

Nigel P. Wilkins

Publication date: 23 May 2005

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/sac-200047081

zbMATH Keywords

simulationasymptotic propertieslong memoryperiodogram

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) General considerations in statistical decision theory (62C05)

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• Time series: theory and methods.
• Indirect estimation of ARFIMA and VARFIMA models
• Long memory processes and fractional integration in econometrics
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING

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