Sample autocorrelations of nonstationary fractionally integrated series (Q1370193): Difference between revisions

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+Uwe Hassler
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+MaRDI publication profile
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+PARTIAL AUTOCORRELATION PROPERTIES FOR NON-STATIONARY AUTOREGRESSIVE MOVING-AVERAGE MODELS
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+Higher-order sample autocorrelations and the unit root hypothesis
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+The Invariance Principle for Stationary Processes
@@ Property / cites work: The Invariance Principle for Stationary Processes / rank @@
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+Distribution of the Estimators for Autoregressive Time Series With a Unit Root
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+Trends versus Random Walks in Time Series Analysis
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+AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
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+Q4840212
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+The sample autocorrelation function of \(I(1)\) processes
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+On the power of unit root tests against fractional alternatives
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+The Asymptotic Distribution of the Sample Autocorrelations for an Integrated ARMA Process
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+Fractional differencing
@@ Property / cites work: Fractional differencing / rank @@
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+Long-Term Memory in Stock Market Prices
@@ Property / cites work: Long-Term Memory in Stock Market Prices / rank @@
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+Fractional Brownian Motions, Fractional Noises and Applications
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+Bias in the sample autocorrelations of fractional noise
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+Time Series Regression with a Unit Root
@@ Property / cites work: Time Series Regression with a Unit Root / rank @@
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+The Fractional Unit Root Distribution
@@ Property / cites work: The Fractional Unit Root Distribution / rank @@
+Normal rank
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+Weak convergence to fractional brownian motion and to the rosenblatt process
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+The behaviour of the sample autocorrelation function for an integrated moving average process
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+ASYMPTOTIC PROPERTIES OF THE SAMPLE AUTOCORRELATIONS AND PARTIAL AUTOCORRELATIONS OF A MULTIPLICATIVE ARIMA PROCESS
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+On estimation of a regression model with long-memory stationary errors
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