Estimation and Applications of Gegenbauer Processes.

This paper presents the long memory Gegenbauer process which allows to take into account the periodic behaviour of a time series with long-range dependence. The authors investigate the pseudo-maximum likelihood Whittle's method to estimate simultaneously all the parameters of the Gegenbauer model.

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Year of publication:	1999
Authors:	Ferrara, L. ; Guegan, D.
Subject:	ESTIMATOR \| ECONOMETRIE \| TIME SERIES

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Type of publication:	Book / Working Paper
Notes:	36 pages
Classification:	C13 - Estimation ; C22 - Time-Series Models ; C50 - Econometric Modeling. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005671574