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stat.AP2019
Estimating FARIMA models with uncorrelated but non-independent error terms
Yacouba Boubacar Maïnassara, Youssef Esstafa, Bruno Saussereau
In this paper we derive the asymptotic properties of the least squares estimator (LSE) of fractionally integrated autoregressive moving-average (FARIMA) models under the assumption…
math.ST2019
Distribution of residual autocorrelations for multiplicative seasonal ARMA models with uncorrelated but non-independent error terms
Yacouba Boubacar Maïnassara, Abdoulkarim Ilmi Amir
In this paper we consider portmanteau tests for testing the adequacy of multiplicative seasonal autoregressive moving-average (SARMA) models under the assumption that the errors ar…