GENERALISED LEAST SQUARES (GLS) ESTIMATION OF THE DIFFERENCE PARAMETER IN LONG MEMORY (ARFIMA) PROCESSES

DOI10.1081/STA-120013017zbMath1009.62076MaRDI QIDQ4792117

C. R. O. Lawoko, Richard L. Hudson

Publication date: 11 February 2003

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

zbMATH Keywords

tablessimulations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

Related Items (1)

Some Properties of the Normalized Periodogram of a Fractionally Integrated Separable Spatial ARMA (FISSARMA) Model

Uses Software

• longmemo

Cites Work

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• The Fractional Unit Root Distribution
• The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
• Fractional differencing
• Some Recent Developments in Time Series Analysis, Correspondent Paper
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• ASYMPTOTICS FOR THE LOW-FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG-MEMORY TIME SERIES
• Bias in the sample autocorrelations of fractional noise
• ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES

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