Minimum distance estimation of \(k\)-factors GARMA processes

DOI10.1016/j.spl.2008.06.027zbMath1489.62282OpenAlexW2024780044MaRDI QIDQ958951

Ouagnina Hili, Euloge F. Kouamé

Publication date: 10 December 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.06.027

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and spectral analysis (62M15)

Related Items (5)

Minimum distance estimation of ARFIMA processes ⋮ Bayesian estimation of Gegenbauer processes ⋮ A new time domain estimation of \(k\)-factors GARMA processes ⋮ Minimum distance estimation of locally stationary moving average processes ⋮ Estimation methods for stationary Gegenbauer processes

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• A k-Factor GARMA Long-memory Model
• On the invertibility of fractionally differenced ARIMA processes
• Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series

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