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pro vyhledávání: '"and phrases: Nonlinear processes"'
In this paper we derive the asymptotic properties of the least squares estimator (LSE) of fractionally integrated autoregressive moving-average (FARIMA) models under the assumption that the errors are uncorrelated but not necessarily independent nor
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::acb71b98b7609eb7656c77ff138ae3da
https://hal.archives-ouvertes.fr/hal-02316503
https://hal.archives-ouvertes.fr/hal-02316503
This work considers the problem of modified portmanteau tests for testing the adequacy of FARIMA models under the assumption that the errors are uncorrelated but not necessarily independent (i.e. weak FARIMA). We first study the joint distribution of
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::298ec6c2c21584b02c92b9a4dc02b53b
http://arxiv.org/abs/1912.00013
http://arxiv.org/abs/1912.00013