On the eigenstructure of generalized fractional processes
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Date
2003
Journal Title
Journal ISSN
Volume Title
Publisher
ELSEVIER SCIENCE BV
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. (C) 2003 Elsevier B.V. All rights reserved.
Description
Keywords
BLUE, generalized long memory processes, linear processes, Toeplitz matrix, MODEL