Estimation of seasonal fractionally integrated processes

Computational Statistics and Data Analysis

Volumn 50, Issue 2, 2006, Pages 568-582

  Reisen, Valderio Anselmo ^a   Rodrigues, Alexandre L ^a   Palma, Wilfredo ^b  

^a FEDERAL UNIVERSITY OF ESPÍRITO SANTO   (Brazil)

^b PONTIFICIA UNIVERSIDAD CATÓLICA DE CHILE   (Chile)

Author keywords

Fractional differencing; Long memory; Maximum likelihood estimates; Periodogram regression; Seasonality

Indexed keywords

BANDWIDTH; COMPUTER SIMULATION; MATHEMATICAL MODELS; MONTE CARLO METHODS; REGRESSION ANALYSIS;

ESTIMATORS; FRACTIONALLY INTEGRATED PROCESSES; LOG-PERIODOGRAM;

MAXIMUM LIKELIHOOD ESTIMATION;

EID: 24944543111     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2004.08.004     Document Type: Article

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