LONG-RANGE DEPENDENCE AND MIXING FOR DISCRETE TIME FRACTIONAL PROCESSES

DOI10.1111/j.1467-9892.1995.tb00237.xzbMath0820.62077OpenAlexW2097334469MaRDI QIDQ4837793

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Publication date: 14 September 1995

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1995.tb00237.x

zbMATH Keywords

difference equationsasymptotic behaviourlong-range dependencespectral densitiesmixing propertiesimpulse response sequencesecond-order propertiesfractional filterssimulated examplesdiscrete time stationary processesautocovariance sequenceextended fractional ARMA processesfractional seasonal modelslong- memory linear processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (11)

CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY ⋮ A generalized fractionally differencing approach in long-memory modeling ⋮ Approximation of transfer functions of infinite dimensional dynamical systems by rational interpolants with prescribed poles ⋮ A semiparametric approach to estimate two seasonal fractional parameters in the SARFIMA model ⋮ Invariance principles for non-isotropic long memory random fields ⋮ Statistical estimation of nonstationary Gaussian processes with long-range dependence and intermittency. ⋮ Marginal density estimation for linear processes with cyclical long memory ⋮ On the Structure and Estimation of Reflection Positive Processes ⋮ Nonparametric estimation for dependent data ⋮ Linear prediction of long-range dependent time series ⋮ Estimation of harmonic component in regression with cyclically dependent errors

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