Fractionally differenced Gegenbauer processes with long memory: a review
type: Item
instance of: scholarly article
title: Fractionally differenced Gegenbauer processes with long memory: a review
zbMATH Open document ID: 1403.62160
DOI: 10.1214/18-STS649
author: G. S. Dissanayake
author: Shelton Peiris
author: Tommaso Proietti
published in: Statistical Science
publication date: 2018-12-10T00:00:00Z
full work available at URL: https://projecteuclid.org/euclid.ss/1534147230
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 6991127
zbMATH Keywords: Gegenbauer process
zbMATH Keywords: long memory
zbMATH Keywords: heteroskedasticity
zbMATH Keywords: fractional difference
zbMATH Keywords: volatility
zbMATH Keywords: spectral density
zbMATH Keywords: stationarity
zbMATH Keywords: invertibility
zbMATH Keywords: time series
zbMATH Keywords: econometric research
describes a project that uses: itsmr
describes a project that uses: longmemo
MaRDI profile type: Publication
cites work: Q3746737
cites work: Q3993534
cites work: Possible long-range dependence in fractional random fields.
cites work: Semiparametric inference in seasonal and cyclical long memory processes
cites work: Long memory processes and fractional integration in econometrics
cites work: Fractionally integrated generalized autoregressive conditional heteroskedasticity
cites work: Robust estimation of GARMA model parameters with an application to cointegration among interest rates of industrialized countries
cites work: Fitting long-memory models by generalized linear regression
cites work: Long-Memory Processes
cites work: Properties of seasonal long memory processes
cites work: Generalized autoregressive conditional heteroscedasticity
cites work: Q5663204
cites work: Time series: theory and methods.
cites work: Q4718452
cites work: State space modeling of long-memory processes
cites work: Estimation of Long-Memory Time Series Models: a Survey of Different Likelihood-Based Methods
cites work: A GENERALIZED FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE PROCESS
cites work: State space modeling of Gegenbauer processes with long memory
cites work: A Fractional Dickey-Fuller Test for Unit Roots
cites work: Time series analysis by state space methods
cites work: Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
cites work: Q5824493
cites work: Testing Fractional Order of Long Memory Processes: A Monte Carlo Study
cites work: Gaussian estimation of parametric spectral density with unknown pole
cites work: Q3399435
cites work: A generalized fractionally differencing approach in long-memory modeling
cites work: Coefficient Identities for Powers of Taylor and Dirichlet Series
cites work: Q3671491
cites work: AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
cites work: When long memory meets the Kalman filter: a comparative study
cites work: ON GENERALIZED FRACTIONAL PROCESSES
cites work: How can we Define the Concept of Long Memory? An Econometric Survey
cites work: Q5708632
cites work: (MIS)SPECIFICATION OF LONG MEMORY IN SEASONAL TIME SERIES
cites work: On the power of unit root tests against fractional alternatives
cites work: Fractional differencing
cites work: Semiparametric estimation for seasonal long-memory time series using generalized exponential models
cites work: Nearly efficient likelihood ratio tests of the unit root hypothesis
cites work: Periodic Seasonal Reg-ARFIMA–GARCH Models for Daily Electricity Spot Prices
cites work: Refined Inference on Long Memory in Realized Volatility
cites work: On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity
cites work: Estimation of Time-Varying Long Memory Parameter Using Wavelet Method
cites work: A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries
cites work: Aggregation of random parameters Ornstein‐Uhlenbeck or AR processes: some convergence results
cites work: Long‐Memory Time Series
cites work: Efficient Estimation of Seasonal Long‐Range‐Dependent Processes
cites work: Q3860701
cites work: Q5756426
cites work: An introduction to volatility models with indices
cites work: Q3267566
cites work: MODELING LONG-MEMORY PROCESSES FOR OPTIMAL LONG-RANGE PREDICTION
cites work: Estimation of seasonal fractionally integrated processes
cites work: Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression

Fractionally differenced Gegenbauer processes with long memory: a review (cites work)
cites work: Generalized Autoregressive (GAR) Model: A Comparison of Maximum Likelihood and Whittle Estimation Procedures Using a Simulation Study

Fractionally differenced Gegenbauer processes with long memory: a review (cites work)
cites work: On properties of the second order generalized autoregressive GAR(2) model with index

Fractionally differenced Gegenbauer processes with long memory: a review (cites work)
cites work: Approximate Asymptotic Variance-Covariance Matrix for the Whittle Estimators of GAR(1) Parameters

Fractionally differenced Gegenbauer processes with long memory: a review (cites work)
cites work: Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series

Fractionally differenced Gegenbauer processes with long memory: a review (cites work)
cites work: ASYMPTOTICS FOR GENERAL FRACTIONALLY INTEGRATED PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS

Fractionally differenced Gegenbauer processes with long memory: a review (cites work)
cites work: A k-Factor GARMA Long-memory Model

Fractionally differenced Gegenbauer processes with long memory: a review (OpenAlex ID)
OpenAlex ID: W2886654105

Fractionally differenced Gegenbauer processes with long memory: a review (Wikidata QID)
Wikidata QID: Q129395640