ESTIMATION IN LONG MEMORY TIME-SERIES MODELS

被引：3

作者：

GUPTA, SN ^{[1
]}

机构：

[1] UNIV SO MAINE,DEPT MATH & STAT,PORTLAND,ME 04103

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 1992年 / 21卷 / 05期

关键词：

ARMA PROCESSES; FRACTIONAL DIFFERENCING; LONG MEMORY; SPECTRAL DENSITY; REGRESSION ESTIMATES AND MAXIMUM LIKELIHOOD ESTIMATES;

D O I：

10.1080/03610929208830850

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

A regression type estimator of the parameter d in fractionally differenced ARMA (p,q) processes is presented. The proposed estimator is shown to be mean square consistent. Its performance is compared with some of the existing estimators via a simulation study.

引用

页码：1327 / 1338

页数：12

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