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On the eigenstructure of generalized fractional processes

This work establishes bounds for the eigenvalues of the covariance matrix from a general class of stationary processes. These results are applied to the statistical analysis of the large sample behavior of estimates and testing procedures of generalized long memory models, including Seasonal ARFIMA and k-factor GARMA processes, among others.
Year of publication:
2003
Authors: Palma, Wilfredo ; Bondon, Pascal
Published in:
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 65.2003, 2, p. 93-101
Publisher: Elsevier
Keywords: BLUE Generalized long memory processes Linear processes Toeplitz matrix
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10005223132
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