Fractional differencing

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A review of definitions of fractional differences and sums
Cumulative sum control chart applied to monitor shifts in the mean of a long-memory \(\text{ARFIMAX}(p,d^*,q,r)\) process with exponential white noise
Revisiting the relations between Hurst exponent and fractional differencing parameter for long memory
Optimal convergence rates in non-parametric regression with fractional time series errors
Structural breaks in time series
The bias of lag window estimators of the fractional difference parameter.
Indirect inference for fractional time series models
Statistical analysis and modeling of Internet VoIP traffic for network engineering
Realized stochastic volatility with general asymmetry and long memory
On the power of the Augmented Dickey--Fuller test against fractional alternatives using bootstrap.
Infinite variance stable Gegenbauer ARFISMA models
Fractional nonlinear dynamics of learning with memory
Cyclical long memory: decoupling, modulation, and modeling
A Berry-Esseen bound of order \(\frac{1}{\sqrt{n}}\) for martingales
Analytic Hessian matrices and the computation of FIGARCH estimates
Contrasting stochasticity with chaos in a permutation Lempel-Ziv complexity -- Shannon entropy plane
On the asymptotic expansion of the empirical process of long-memory moving averages
A multivariate long-memory model with structural breaks
Structural changes estimation for strongly dependent processes
Impulse responses of fractionally integrated processes with long memory
A novel auto-regressive fractionally integrated moving average–least-squares support vector machine model for electricity spot prices prediction
Fractionally integrated ARMA for crude palm oil prices prediction: case of potentially overdifference
Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes
Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data
An introduction to volatility models with indices
Asymptotic distribution of the bias corrected least squares estimators in measurement error linear regression models under long memory
A harmonically weighted filter for cyclical long memory processes
Comparing the performances of symmetric and asymmetric generalized autoregressive conditionally heteroscedasticity models based on long-memory models under different distributions
An approximate fractional Gaussian noise model with \(\mathcal{O}(n)\) computational cost
Long memory and fractional differencing: revisiting Clive W. J. Granger's contributions and further developments
On discrete fractional solutions of non-Fuchsian differential equations
On discriminating between long-range dependence and changes in mean
Valid asymptotic expansions for the maximum likelihood estimators of the parameter of a stationary, Gaussian, strongly dependent process
FIXED-B ASYMPTOTICS FOR THE STUDENTIZED MEAN FROM TIME SERIES WITH SHORT, LONG, OR NEGATIVE MEMORY
Fractional and integer derivatives with continuously distributed lag
Fractional stochastic volatility model
Long memory effects and forecasting of earthquake and volcano seismic data
Coupling correlation detrended analysis for multiple nonstationary series
GARTFIMA process and its empirical spectral density based estimation
Gaussian estimation of parametric spectral density with unknown pole
On the asymptotic distribution of sample autocovariance differences of long-memory processes
Considering long-memory when testing for changepoints in surface temperature: a classification approach based on the time-varying spectrum
Comparing the marginal densities of two strictly stationary linear processes
Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes
Kernel type smoothed quantile estimation under long memory
Obtaining prediction intervals for FARIMA processes using the sieve bootstrap
ARCH models as diffusion approximations
Scaling properties of foreign exchange volatility
Semi-parametric smoothing estimators for long-memory processes with added noise
A generalized fractionally differencing approach in long-memory modeling
Estimating a generalized long memory process
Long memory continuous time models
On the power of the KPSS test of stationarity against fractionally-integrated alternatives
Long memory, fractional integration, and cross-sectional aggregation
Testing for periodicity at an unknown frequency under cyclic long memory, with applications to respiratory muscle training
Space‐time modelling of trends in temperature series
ASYMPTOTIC THEORY FOR MAXIMUM LIKELIHOOD ESTIMATION OF THE MEMORY PARAMETER IN STATIONARY GAUSSIAN PROCESSES
Variogram calculations for random fields on regular lattices using quadrature methods
On continuous-time autoregressive fractionally integrated moving average processes
The two-parameter Poisson-Dirichlet point process
Spurious regression
Infinite variance stable moving averages with long memory
DWT-CEM: an algorithm for scale-temporal clustering in fMRI
Sample autocorrelations of nonstationary fractionally integrated series
Exploratory spectral analysis of hydrological times series
Local asymptotic normality for a periodically time varying long memory parameter
カルマン・フィルターによるRealized Stochastic Volatilityモデルの疑似最尤推定について
Inference on a structural break in trend with fractionally integrated errors
On models and methods for Bayesian time series analysis
Bayesian estimation of Gegenbauer processes
Detrended fluctuation analysis based on higher-order moments of financial time series
Periodic trawl processes: simulation, statistical inference and applications in energy markets
Long-range dependent curve time series
scientific article; zbMATH DE number 7306919 (Why is no real title available?)
Testing for the change of the mean-reverting parameter of an autoregressive model with stationary Gaussian noise
Nelson-Plosser revisited: the ACF approach
Convergence of normalized quadratic forms
Analysis of Shannon-Fisher information plane in time series based on information entropy
LONG RANGE DEPENDENCE, UNBALANCED HAAR WAVELET TRANSFORMATION AND CHANGES IN LOCAL MEAN LEVEL
Inference on the cointegration rank in fractionally integrated processes.
Recent results in the theory and applications of CARMA processes
Asymptotic behaviour of the LS estimator in a nonlinear model with long memory
Constancy test for FARIMA long memory processes
Threshold estimation under strong dependence
Stochastic integral convergence: a white noise calculus approach
Density convergence in the Breuer-Major theorem for Gaussian stationary sequences
Sample quantile analysis for long-memory stochastic volatility models
A Note of Wavelet Variance
On the connection between orthant probabilities and the first passage time problem
Estimation of long-range dependence in gappy Gaussian time series
Detecting fuzzy periodic patterns in futures spreads
Multidimensional scaling analysis of financial time series based on modified cross-sample entropy methods
Approximate wavelet-based simulation of long memory processes
Analysis of stock market data by using dynamic Fourier and wavelets techniques
A test for fractional cointegration using the sieve bootstrap
Some simulations and applications of forecasting long-memory time-series models
On a class of estimation and test for long memory
On bandwidth choice for density estimation with dependent data
The central limit theorem for a sequence of random processes with space-varying long memory
An asymptotic Wiener-Itô representation for the low frequency ordinates of the periodogram of a long memory time series

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