articleTop 1% cited
Maximum likelihood estimation of stationary univariate fractionally integrated time series models
Journal of Econometrics · 1992 · Vol. 53(1-3) · pp. 165–188
Fallaw Sowell✉(Carnegie Mellon University)
Financial Risk and Volatility ModelingHydrology and Drought AnalysisStatistical Distribution Estimation and ApplicationsUnivariateEstimatorSeries (stratigraphy)MathematicsLikelihood functionMaximum likelihoodMaximum likelihood sequence estimationStatisticsRestricted maximum likelihoodEstimation theory
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References
Large-Sample Properties of Parameter Estimates for Strongly Dependent Stationary Gaussian Time Series
The Annals of Statistics · 1986 · 883 citations
Long memory relationships and the aggregation of dynamic models
Journal of Econometrics · 1980 · 1,474 citations
Time Series: Theory and Methods
Technometrics · 1992 · 5,091 citations
Time Series Analysis: Forecasting and Control
Journal of Marketing Research · 1977 · 19,299 citations
Table of Integrals, Series, and Products.
Mathematics of Computation · 1995 · 9,464 citations
Fractional differencing
Biometrika · 1981 · 2,462 citations
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