Humbert generalized fractional differenced ARMA processes

DOI10.1016/J.CNSNS.2023.107412MaRDI QIDQ6177839zbMATH OpenFDO

Authors Monika Singh Dhull, Nikolai N. Leonenko

Publication date 31 August 2023

Published in Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2303.12377

zbMATH Keywords

spectral densitystationary processesHumbert polynomialssingular spectrumseasonal long memoryGegenbauer processes

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Orthogonal polynomials and functions of hypergeometric type (Jacobi, Laguerre, Hermite, Askey scheme, etc.) (33C45)

Abstract: In this article, we use the generating functions of the Humbert polynomials to define two types of Humbert generalized fractional differenced ARMA processes. We present stationarity and invertibility conditions for the introduced models. The singularities for the spectral densities of the introduced models are obtained. In particular, Pincherle ARMA, Horadam ARMA and Horadam-Pethe ARMA processes are studied.

Cites work

• scientific article; zbMATH DE number 3849611 (Why is no real title available?)
• scientific article; zbMATH DE number 3814037 (Why is no real title available?)
• scientific article; zbMATH DE number 3946218 (Why is no real title available?)
• scientific article; zbMATH DE number 4034128 (Why is no real title available?)
• scientific article; zbMATH DE number 3749096 (Why is no real title available?)
• scientific article; zbMATH DE number 3777779 (Why is no real title available?)
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• scientific article; zbMATH DE number 1520569 (Why is no real title available?)
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Continuous-Time Stochastic Processes with Cyclical Long-Range Dependence
• Estimating a generalized long memory process
• Estimation of seasonal fractionally integrated processes
• Fractional differencing
• Fractionally differenced Gegenbauer processes with long memory: a review
• Gaussian estimation of parametric spectral density with unknown pole
• Gegenbauer random fields
• Inverse series relations and other expansions involving Humbert polynomials
• Inverse tempered stable subordinators
• Large sample inference for long memory processes
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• Limit theorems for weighted nonlinear transformations of Gaussian stationary processes with singular spectra
• Minimum contrast estimation of random processes based on information of second and third orders
• Numerical methods for SPDEs with tempered stable processes
• ON GENERALIZED FRACTIONAL PROCESSES
• On a class of minimum contrast estimators for fractional stochastic processes and fields
• Parameter estimation for ARTFIMA time series
• Tempered positive Linnik processes and their representations
• Tempered stable Lévy motion and transient super-diffusion
• Tempered stable distributions. Stochastic models for multiscale processes
• Tempering stable processes
• The asymptotic theory of linear time-series models

Cited in

(4)

• On several properties of a novel class of generalized Humbert autoregressive moving average process
• Continuous-time fractional ARMA processes
• Singular properties of high-order spectral densities of supOU processes
• On fractional spherically restricted hyperbolic diffusion random field

This page was built for publication: Humbert generalized fractional differenced ARMA processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6177839)