Fractional differencing
From MaRDI portal
Publication:3915870
DOI10.1093/biomet/68.1.165zbMath0464.62088OpenAlexW4242671632WikidataQ64026023 ScholiaQ64026023MaRDI QIDQ3915870
Publication date: 1981
Published in: Biometrika (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/biomet/68.1.165
time seriesfractional Brownian motionfractional differencingARMA processesautoregressive integrated moving-average processlong-term persistence
Related Items (only showing first 100 items - show all)
EWMA control charts for detecting changes in the mean of a long-memory process ⋮ Generating schemes for long memory processes: regimes, aggregation and linearity ⋮ Modelling structural breaks, long memory and stock market volatility: an overview ⋮ A parametric bootstrap test for cycles ⋮ Testing for structural change in regression with long memory processes ⋮ Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models ⋮ Residual log-periodogram inference for long-run relationships ⋮ On two sample inference for eigenspaces in functional data analysis with dependent errors ⋮ Local Whittle estimation of fractional integration and some of its variants ⋮ Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting ⋮ A note on stationary bootstrap variance estimator under long-range dependence ⋮ Optimal bias correction of the log-periodogram estimator of the fractional parameter: a jackknife approach ⋮ New robust confidence intervals for the mean under dependence ⋮ The Hyvärinen scoring rule in Gaussian linear time series models ⋮ Asymptotics for duration-driven long range dependent processes ⋮ An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series ⋮ Nonlinear models for strongly dependent processes with financial applications ⋮ Computation of fractional order derivative and integral via power series expansion and signal modelling ⋮ The effect of tapering on the semiparametric estimators for nonstationary long memory processes ⋮ Testing for long memory in the Asian foreign exchange rates ⋮ Change-of-variance problem for linear processes with long memory ⋮ Properties of a block bootstrap under long-range dependence ⋮ Gronwall's inequality on discrete fractional calculus ⋮ An introduction to volatility models with indices ⋮ Discriminating between long-range dependence and non-stationarity ⋮ On continuous-time autoregressive fractionally integrated moving average processes ⋮ On approximate pseudo-maximum likelihood estimation for LARCH-processes ⋮ The two-parameter Poisson-Dirichlet point process ⋮ Spurious regression ⋮ Stochastic integral convergence: a white noise calculus approach ⋮ Sample quantile analysis for long-memory stochastic volatility models ⋮ Density convergence in the Breuer-Major theorem for Gaussian stationary sequences ⋮ Fractional normal inverse Gaussian diffusion ⋮ On spline regression under Gaussian subordination with long memory ⋮ On linear models with long memory and heavy-tailed errors ⋮ Limiting spectral distribution of a new random matrix model with dependence across rows and columns ⋮ An explicit representation of Verblunsky coefficients ⋮ Wavelet variance analysis for gappy time series ⋮ Kernel type smoothed quantile estimation under long memory ⋮ Recent results in the theory and applications of CARMA processes ⋮ Constancy test for FARIMA long memory processes ⋮ Asymptotic behaviour of the LS estimator in a nonlinear model with long memory ⋮ A review of empirical likelihood methods for time series ⋮ Least absolute deviation estimation for general fractionally integrated autoregressive moving average time series models ⋮ Adaptive dynamic Nelson-Siegel term structure model with applications ⋮ Seasonal nonlinear long memory model for the US inflation rates ⋮ A long memory model with normal mixture GARCH ⋮ Editor's introduction: Analysis of financial data ⋮ An ARMA type fuzzy time series forecasting method based on particle swarm optimization ⋮ Aggregation of the generalized fractional processes ⋮ The functional central limit theorem and structural change test for the \(\mathrm{HAR}(\infty)\) model ⋮ The trace problem for Toeplitz matrices and operators and its impact in probability ⋮ Shaking the tree: an agency-theoretic model of asset pricing ⋮ A test of the null of integer integration against the alternative of fractional integration ⋮ Fractional integration, trend stationarity and difference stationarity ⋮ Seasonal fractional ARIMA with stable innovations ⋮ Confidence intervals for long memory regressions ⋮ On the distribution of quadratic functionals of the ordinary and fractional Brownian motions ⋮ Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models ⋮ Herding, a-synchronous updating and heterogeneity in memory in a CBS ⋮ A test for additive outliers applicable to long-memory time series ⋮ Memory properties of transformations of linear processes ⋮ Estimation of seasonal fractionally integrated processes ⋮ Persistence-robust surplus-lag Granger causality testing ⋮ A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect ⋮ Maximum likelihood estimation in vector long memory processes via EM algorithm ⋮ Fractional integration and the volatility of UK interest rates ⋮ Impulse responses of antipersistent processes ⋮ The invariance principle for fractionally integrated processes with strong near-epoch dependent innovations ⋮ Beta autoregressive fractionally integrated moving average models ⋮ A semiparametric two-step estimator in a multivariate long memory model ⋮ Marginal density estimation for linear processes with cyclical long memory ⋮ Analytical formulation of the fractal dimension of filtered stochastic signals ⋮ Simultaneous nonparametric inference of time series ⋮ Time series models with infinite-order partial copula dependence ⋮ Stationarizing two classes of nonstationary processes by wavelet ⋮ On rapid change points under long memory ⋮ Properties of seasonal long memory processes ⋮ Weighted averages and local polynomial estimation for fractional linear ARCH processes ⋮ Change-in-mean problem for long memory time series models with applications ⋮ Fast error analysis of continuous GPS observations ⋮ On parameter estimation for locally stationary long-memory processes ⋮ Robust estimation in long-memory processes under additive outliers ⋮ Local bootstrap approaches for fractional differential parameter estimation in ARFIMA models ⋮ Semiparametric estimation for seasonal long-memory time series using generalized exponential models ⋮ Detecting fuzzy periodic patterns in futures spreads ⋮ A multivariate preconditioned conjugate gradient approach for maximum likelihood estimation in vector long memory processes ⋮ A test for fractional cointegration using the sieve bootstrap ⋮ Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH ⋮ Wavelet analysis of stock returns and aggregate economic activity ⋮ The role of long memory in hedging effectiveness ⋮ Modelling the US, UK and Japanese unemployment rates: fractional integration and structural breaks ⋮ On least squares estimation for long-memory lattice processes ⋮ Asymptotic properties of nonparametric regression for long memory random fields ⋮ Analysis of complex time series based on EMD energy entropy plane ⋮ On models and methods for Bayesian time series analysis ⋮ Central limit theorems for quadratic forms in random variables having long-range dependence ⋮ The tests of Robinson (1994) for fractional integration. Time domain versus frequency domain ⋮ A closed formula for the Durbin-Levinson's algorithm in seasonal fractionally integrated pro\-ces\-ses ⋮ A bootstrap causality test for covariance stationary processes
This page was built for publication: Fractional differencing
