Efficient Estimation of Seasonal Long‐Range‐Dependent Processes

DOI10.1111/j.1467-9892.2005.00447.xzbMath1097.62092OpenAlexW3121785199MaRDI QIDQ5487367

Ngai Hang Chan, Wilfredo Palma

Publication date: 19 September 2006

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2005.00447.x

zbMATH Keywords

consistencyasymptotic normalityspectral densitymaximum likelihood estimate

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (12)

A harmonically weighted filter for cyclical long memory processes ⋮ Fractionally differenced Gegenbauer processes with long memory: a review ⋮ Inference of seasonal long-memory aggregate time series ⋮ Modelling cycles in climate series: the fractional sinusoidal waveform process ⋮ The ARMA alphabet soup: a tour of ARMA model variants ⋮ The CSS and the two-staged methods for parameter estimation in SARFIMA models ⋮ A semiparametric approach to estimate two seasonal fractional parameters in the SARFIMA model ⋮ Robust estimation of fractional seasonal processes: modeling and forecasting daily average \(\mathrm{SO}_2\) concentrations ⋮ Inference of Seasonal Long‐memory Time Series with Measurement Error ⋮ Semiparametric estimation for seasonal long-memory time series using generalized exponential models ⋮ Estimation methods for stationary Gegenbauer processes ⋮ A wavelet Whittle estimator of generalized long-memory stochastic volatility

Cites Work

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• Central limit theorems for quadratic forms in random variables having long-range dependence
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• Asymptotic theory of statistical inference for time series
• State space modeling of long-memory processes
• Gaussian estimation of parametric spectral density with unknown pole
• Semiparametric Inference in Seasonal and Cyclical Long Memory Processes
• Modelling Long‐memory Time Series with Finite or Infinite Variance: a General Approach
• A k-Factor GARMA Long-memory Model
• (MIS)SPECIFICATION OF LONG MEMORY IN SEASONAL TIME SERIES
• A note on calculating autocovariances of long‐memory processes
• Long memory with seasonal effects

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