Maximum likelihood estimators for ARMA and ARFIMA models: a Monte Carlo study
- 1 August 1999
- journal article
- Published by Elsevier in Journal of Statistical Planning and Inference
- Vol. 80 (1-2) , 229-255
- https://doi.org/10.1016/s0378-3758(98)00252-3
Abstract
No abstract availableKeywords
All Related Versions
This publication has 24 references indexed in Scilit:
- On maximum likelihood estimation of the differencing parameter of fractionally-integrated noise with unknown meanJournal of Econometrics, 1994
- Time Series: Theory and MethodsPublished by Springer Nature ,1991
- Efficient Parameter Estimation for Self-Similar ProcessesThe Annals of Statistics, 1989
- Parameter estimation in low order fractionally differenced ARMA processesStochastic Environmental Research and Risk Assessment, 1989
- Small Sample Effects in Time Series Analysis: A New Asymptotic Theory and a New EstimateThe Annals of Statistics, 1988
- WHY DO NONINVERTIBLE ESTIMATED MOVING AVERAGES OCCUR?*Journal of Time Series Analysis, 1986
- Large-Sample Properties of Parameter Estimates for Strongly Dependent Stationary Gaussian Time SeriesThe Annals of Statistics, 1986
- Parameter Estimation and Hypothesis Testing in Spectral Analysis of Stationary Time SeriesPublished by Springer Nature ,1986
- On Series Representations for Linear PredictorsThe Annals of Probability, 1985
- Finite sample properties of estimators for autoregressive moving average modelsJournal of Econometrics, 1980