On the asymptotic distribution of sample autocovariance differences of long-memory processes

DOI10.1214/23-BJPS569MaRDI QIDQ6178483

Mauricio Zevallos

Publication date: 1 September 2023

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

zbMATH Keywords

minimum distance estimationcentral limit theoremARFIMA

Mathematics Subject Classification ID

Statistics (62-XX) Systems theory; control (93-XX)

Cites Work

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• Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models
• Sample autocovariances of long-memory time series
• A minimum distance estimator for long-memory processes
• Minimum distance estimation of ARFIMA processes
• Estimation of GARCH Models from the Autocorrelations of the Squares of a Process
• Long‐Memory Time Series
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Long-Memory Processes
• A Simplex Method for Function Minimization

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