THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS

DOI10.1111/J.1467-9892.1983.TB00371.XzbMath0534.62062OpenAlexW1973694910WikidataQ29028376 ScholiaQ29028376MaRDI QIDQ3317942

Susan Porter-Hudak, John F. Geweke

Publication date: 1983

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1983.tb00371.x

zbMATH Keywords

estimation simulation study spectral density asymptotic results fractional differencing economic time series long memory time series models general fractional Gaussian noise general integrated series simple integrated series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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