Estimation methods for stationary Gegenbauer processes

Richard Hunt (), Shelton Peiris and Neville Weber
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Shelton Peiris: University of Sydney
Neville Weber: University of Sydney

Statistical Papers, 2022, vol. 63, issue 6, No 1, 1707-1741

Abstract: Abstract This paper reviews alternative methods for estimation for stationary Gegenbauer processes specifically, as distinct from the more general long memory models. A short set of Monte Carlo simulations is used to compare the accuracy of these methods. The conclusion found is that a Bayesian technique results in the highest accuracy. The paper is completed with an examination of the SILSO Sunspot Number series as collated by the Royal Observatory of Belgium.

Keywords: Gegenbauer; GARMA; Whittle; Bayesian; Semi-parametric; SILSO; 60G22 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s00362-022-01290-3

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