Name
Abstract | ||
|---|---|---|
In this article, we discuss the parameter estimation for a k-factor generalized long-memory process with conditionally heteroskedastic noise. Two estimation methods are proposed. The first method is based on the conditional distribution of the process and the second is obtained as an extension of Whittle's estimation approach. For comparison purposes, Monte Carlo simulations are used to evaluate the finite sample performance of these estimation techniques, using four different conditional distribution functions. |
Year | DOI | Venue |
|---|---|---|
2008 | 10.1080/03610910802304994 | COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION |
Keywords | DocType | Volume |
Conditional sum of squares, Gegenbauer polynomial, Heteroskedasticity, Long memory, Whittle estimation | Journal | 37 |
Issue | ISSN | Citations |
10 | 0361-0918 | 0 |
PageRank | References | Authors |
0.34 | 0 | 2 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Abdou Kâ Diongue | 1 | 0 | 0.68 |
| Dominique Guégan | 2 | 5 | 2.25 |