Estimating FARIMA models with uncorrelated but non-independent error terms-Reference-Cited by-同舟云学术

Estimating FARIMA models with uncorrelated but non-independent error terms

Published:2021-05-14 Issue:3 Volume:24 Page:549-608
ISSN:1387-0874
Container-title:Statistical Inference for Stochastic Processes
language:en
Short-container-title:Stat Inference Stoch Process

Author:

Boubacar Maïnassara Yacouba^ORCID,Esstafa Youssef,Saussereau Bruno

Publisher

Springer Science and Business Media LLC

Subject

Statistics and Probability

Link

https://link.springer.com/content/pdf/10.1007/s11203-021-09243-7.pdf

Reference62 articles.

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4. Baillie RT, Chung C-F, Tieslau MA (1996) Analysing inflation by the fractionally integrated ARFIMA-GARCH model. J Appl Economet 11(1):23–40

5. Beran J (1995) Maximum likelihood estimation of the differencing parameter for invertible short and long memory autoregressive integrated moving average models. J Roy Stat Soc Ser B 57(4):659–672

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