Estimation of seasonal fractionally integrated processes
type: Item
instance of: scholarly article
title: Estimation of seasonal fractionally integrated processes
zbMATH Open document ID: 1432.62313
author: Alexandre L. Rodrigues
author: Wilfredo Palma
author: Valdério Anselmo Reisen
published in: Computational Statistics and Data Analysis
publication date: 2008-12-11T00:00:00Z
full work available at URL: http://hdl.handle.net/10533/177791
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 5381587
zbMATH Keywords: fractional differencing
zbMATH Keywords: long memory
zbMATH Keywords: maximum-likelihood estimates
zbMATH Keywords: periodogram regression
zbMATH Keywords: seasonality
describes a project that uses: Ox
describes a project that uses: longmemo
MaRDI profile type: Publication
OpenAlex ID: W2002889738
cites work: Q3746737
cites work: Semiparametric inference in seasonal and cyclical long memory processes
cites work: Q4865042
cites work: State space modeling of long-memory processes
cites work: A GENERALIZED FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE PROCESS
cites work: THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
cites work: A generalized fractionally differencing approach in long-memory modeling
cites work: ON GENERALIZED FRACTIONAL PROCESSES
cites work: ON GENERALIZED FRACTIONAL PROCESSES – A CORRECTION
cites work: (MIS)SPECIFICATION OF LONG MEMORY IN SEASONAL TIME SERIES
cites work: Fractional differencing
cites work: A comparison of estimation methods in non-stationary ARFIMA processes
cites work: Predictors for Seasonal and Nonseasonal Fractionally Integrated ARIMA Models
cites work: ESTIMATION OF THE FRACTIONAL DIFFERENCE PARAMETER IN THE ARIMA(p, d, q) MODEL USING THE SMOOTHED PERIODOGRAM
cites work: ESTIMATION OF PARAMETERS IN ARFIMA PROCESSES: A SIMULATION STUDY
cites work: Asymptotic theory of statistical inference for time series
cites work: A k-Factor GARMA Long-memory Model
DOI: 10.1016/J.CSDA.2004.08.004
description: scientific article; zbMATH DE number 5381587