On the eigenstructure of generalized fractional processes

Wilfredo Palma and Pascal Bondon

Statistics & Probability Letters, 2003, vol. 65, issue 2, 93-101

Abstract: 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.

Keywords: BLUE; Generalized; long; memory; processes; Linear; processes; Toeplitz; matrix (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (2)

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