A GENERALIZED FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE PROCESS

DOI10.1111/j.1467-9892.1996.tb00268.xzbMath0845.62057OpenAlexW2031932619MaRDI QIDQ4881703

Ching-Fan Chung

Publication date: 18 September 1996

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1996.tb00268.x

zbMATH Keywords

maximum likelihood estimationsimulationsfractional differencingfractionally integrated processpersistent cyclesGARMA processsunspot dataconditional sum of squares methodlong memory Gegenbauer autoregressive moving-average processUS inflation rates

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites Work

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• Asymptotic properties of the LSE in a regression model with long-memory stationary errors
• On estimation of a regression model with long-memory stationary errors
• Long memory relationships and the aggregation of dynamic models
• Time series: theory and methods.
• A note on calculating the autocovariances of the fractionally integrated ARMA models
• Generalized autoregressive conditional heteroscedasticity

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