Estimating seasonal long-memory processes: a Monte Carlo study

DOI10.1080/10629360500107790zbMath1157.62495OpenAlexW2005274385MaRDI QIDQ5290897

Valdério Anselmo Reisen, Wilfredo Palma, Alexandre L. Rodrigues

Publication date: 3 May 2006

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10533/178250

zbMATH Keywords

seasonalityfractional differencinglong-memoryperiodogram regressionWhittle maximum likelihood procedure

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Robustness and adaptive procedures (parametric inference) (62F35)

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Uses Software

• FinTS
• longmemo

Cites Work

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