A comparison of techniques of estimation in long-memory processes
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DOI: 10.1016/S0167-9473(97)00045-5
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Cited by:
- McCoy, E. J. & Stephens, D. A., 2004. "Bayesian time series analysis of periodic behaviour and spectral structure," International Journal of Forecasting, Elsevier, vol. 20(4), pages 713-730.
- Baillie, Richard T. & Kapetanios, George & Papailias, Fotis, 2014. "Bandwidth selection by cross-validation for forecasting long memory financial time series," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 129-143.
- Fantazzini, Dean, 2023. "Assessing the Credit Risk of Crypto-Assets Using Daily Range Volatility Models," MPRA Paper 117141, University Library of Munich, Germany.
- Grassi, Stefano & Santucci de Magistris, Paolo, 2014.
"When long memory meets the Kalman filter: A comparative study,"
Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 301-319.
- Stefano Grassi & Paolo Santucci de Magistris, 2011. "When Long Memory Meets the Kalman Filter: A Comparative Study," CREATES Research Papers 2011-14, Department of Economics and Business Economics, Aarhus University.
- Luisa Bisaglia & Silvano Bordignon, 2002. "Mean square prediction error for long-memory processes," Statistical Papers, Springer, vol. 43(2), pages 161-175, April.
- Baillie, Richard T. & Kapetanios, George & Papailias, Fotis, 2014. "Modified information criteria and selection of long memory time series models," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 116-131.
- Pai, Jeffrey & Ravishanker, Nalini, 2015. "Fast approximate likelihood evaluation for stable VARFIMA processes," Statistics & Probability Letters, Elsevier, vol. 103(C), pages 160-168.
- Reisen Valderio A & Cribari-Neto Francisco & Jensen Mark J, 2003. "Long Memory Inflationary Dynamics: The Case of Brazil," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 7(3), pages 1-18, October.
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Keywords
Fractional Gaussian noise; Fractional ARIMA (p; q) processes; Estimation; Long-range dependence;All these keywords.
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