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General Autoregressive Models with Long-Memory Noise

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  • Mohamed Boutahar

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  • Mohamed Boutahar, 2002. "General Autoregressive Models with Long-Memory Noise," Statistical Inference for Stochastic Processes, Springer, vol. 5(3), pages 321-333, October.
    • Handle: RePEc:spr:sistpr:v:5:y:2002:i:3:p:321-333
    DOI: 10.1023/A:1021239013171
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    References listed on IDEAS

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    1. Francis X. Diebold, 1988. "Random walks versus fractional integration: power comparisons of scalar and joint tests of the variance-time function," Finance and Economics Discussion Series 41, Board of Governors of the Federal Reserve System (U.S.).
    2. Mohamed Boutahar & Claude Deniau, 1995. "A proof of asymptotic normality for some VARX models," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 42(1), pages 331-339, December.
    3. Lai, T. L. & Wei, C. Z., 1983. "Asymptotic properties of general autoregressive models and strong consistency of least-squares estimates of their parameters," Journal of Multivariate Analysis, Elsevier, vol. 13(1), pages 1-23, March.
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