Adaptive test for periodic ARFIMA models

MaRDI QIDQ6549387

Amine Amimour

Publication date: 3 June 2024

Published in: Thailand Statistician (Search for Journal in Brave)

zbMATH Keywords

long memory processresidual autocorrelationslocal asymptotic normality propertylocally asymptotically optimal testperiodically correlated models

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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• Properties of seasonal long memory processes
• Asymptotic methods in statistical decision theory
• Optimal rank-based procedures for time series analysis: testing an ARMA model against other ARMA models
• Efficient detection of random coefficients in autoregressive models
• Local asymptotic normality for regression models with long-memory disturbance
• Minimum Hellinger distance estimates for a periodically time-varying long memory parameter
• Adaptive Test for Periodicity in Autoregressive Conditional Heteroskedastic Processes
• Fractional differencing
• Rank-based tests for autoregressive against bilinear serial dependence
• Local asymptotic normality for a periodically time varying long memory parameter
• Long-Range Dependence and Self-Similarity
• Long Range Dependence

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