ESTIMATION OF THE FRACTIONAL DIFFERENCE PARAMETER IN THE ARIMA(p, d, q) MODEL USING THE SMOOTHED PERIODOGRAM (Q4299040)
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scientific article; zbMATH DE number 598026
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| English | ESTIMATION OF THE FRACTIONAL DIFFERENCE PARAMETER IN THE ARIMA(p, d, q) MODEL USING THE SMOOTHED PERIODOGRAM |
scientific article; zbMATH DE number 598026 |
Statements
ESTIMATION OF THE FRACTIONAL DIFFERENCE PARAMETER IN THE ARIMA(p, d, q) MODEL USING THE SMOOTHED PERIODOGRAM (English)
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5 January 1995
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general fractional differenced white noise process
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time series
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dependence
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autoregressive integrated moving-average \(\text{ARIMA} (p,d,q)\) process
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degree of differencing
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smoothed periodogram
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empirical approach
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long memory models
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raw periodogram regression method
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Hurst coefficient method
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0.895018994808197
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0.895018994808197
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0.8747710585594177
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0.8604637980461121
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