On the asymptotic distribution of sample autocovariance differences of long-memory processes
Author:
Affiliation:
1. Department of Statistics, University of Campinas, Campinas, SP, Brazil
Publisher
Institute of Mathematical Statistics
Subject
Statistics and Probability
Reference19 articles.
1. Baillie, R. T. and Chung, H. (2001). Estimation of GARCH models from the autocorrelations of the squares of a process. Journal of Time Series Analysis 22, 631–650.
2. Beran, J. (1994). Statistics for Long-Memory Processes. New-York: Chapman & Hall.
3. Beran, J., Feng, Y., Ghosh, S. and Kulik, R. (2013). Long-Memory Processes. Berlin-Heidelberg: Springer.
4. Chung, C. (2002). Sample means, sample autocovariances, and linear regression of stationary multivariate long memory processes. Econometric Theory 18, 51–78.
5. Doornik, J. A. and Ooms, M. (2003). Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models. Computational Statistics & Data Analysis 42, 333–348.
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