Definitions and representations of multivariate long-range dependent time series
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FARIMAlinear and causal representationslong-range dependencemultivariate time seriesphase parametertime and spectral domainstrigonometric power-law coefficients
Fourier coefficients, Fourier series of functions with special properties, special Fourier series (42A16) Fractional processes, including fractional Brownian motion (60G22) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)
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Cites work
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Cited in
(21)- Multivariate wavelet Whittle estimation in long-range dependence
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