Inference of Seasonal Long‐memory Time Series with Measurement Error

DOI10.1111/sjos.12099zbMath1364.62228OpenAlexW1605355621MaRDI QIDQ5177955

Edward M. H. Lin, Heiko Rachinger, Henghsiu Tsai

Publication date: 9 March 2015

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/sjos.12099

zbMATH Keywords

measurement errormodel uncertaintyspectral maximum likelihood estimatorseasonal autoregressive fractionally integrated moving-average models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Point estimation (62F10)

Related Items (4)

Asymptotic normality of simultaneous estimators of cyclic long-memory processes ⋮ Realized stochastic volatility with general asymmetry and long memory ⋮ Cointegrated dynamics for a generalized long memory process: application to interest rates ⋮ Robust estimation of fractional seasonal processes: modeling and forecasting daily average \(\mathrm{SO}_2\) concentrations

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