Contemporaneous aggregation of asymptotically stationary AR(1) processes is considered where the squared random coefficients are beta-distributed. Based on the sample correlation coefficients for the individual AR(1) processes, an estimator for the parameters of the underlying beta distribution,...

A flexible class of anisotropic stationary lattice processes with long memory can be defined in terms of a two-way fractional ARIMA (FARIMA) representation. We consider parameter estimation based on minimizing an approximate residual sum of squares. The method can be applied to sampling areas...

Duration series often exhibit long-range dependence and local nonstationarities. Here, exponential FARIMA (EFARIMA) and exponential SEMIFAR (ESEMIFAR) models are introduced. These models capture simultaneously nonstationarities in the mean as well as short- and long-range dependence, while...