LONG-RANGE DEPENDENCE AND MIXING FOR DISCRETE TIME FRACTIONAL PROCESSES
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long-range dependenceasymptotic behaviourdifference equationsspectral densitiesmixing propertiesimpulse response sequencesecond-order propertiesfractional filterssimulated examplesdiscrete time stationary processesautocovariance sequenceextended fractional ARMA processesfractional seasonal modelslong- memory linear processes
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Cites work
- scientific article; zbMATH DE number 3565290 (Why is no real title available?)
- scientific article; zbMATH DE number 3335601 (Why is no real title available?)
- (MIS)SPECIFICATION OF LONG MEMORY IN SEASONAL TIME SERIES
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- ASYMPTOTICS FOR THE LOW-FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG-MEMORY TIME SERIES
- Continuous-time fractional ARMA processes
- Discrimination between monotonic trends and long-range dependence
- Existence and Generic Properties of L2 Approximants for Linear Systems
- Fractional Brownian Motions, Fractional Noises and Applications
- Fractional differencing
- ON GENERALIZED FRACTIONAL PROCESSES
- Past and Future
- REGRESSION OF SPECTRAL ESTIMATORS WITH FRACTIONALLY INTEGRATED TIME SERIES
- Some Limit Theorems for Random Functions. II
- Some mixing properties of time series models
Cited in
(22)- Nonparametric estimation for dependent data
- Linear prediction of long-range dependent time series
- On the Structure and Estimation of Reflection Positive Processes
- Approximation of transfer functions of infinite dimensional dynamical systems by rational interpolants with prescribed poles
- Invariance principles for non-isotropic long memory random fields
- On discrete stochastic processes with long-lasting time dependence in the variance
- Marginal density estimation for linear processes with cyclical long memory
- Mixed-correlated ARFIMA processes for power-law cross-correlations
- Bridging between short-range and long-range dependence with mixed spatio-temporal Ornstein–Uhlenbeck processes
- A semiparametric approach to estimate two seasonal fractional parameters in the SARFIMA model
- Prediction of fractional processes with long-range dependence
- Estimation of harmonic component in regression with cyclically dependent errors
- Cyclical long memory: decoupling, modulation, and modeling
- A generalized fractionally differencing approach in long-memory modeling
- scientific article; zbMATH DE number 1001922 (Why is no real title available?)
- On the long-range dependence of mixed fractional Poisson process
- Statistical estimation of nonstationary Gaussian processes with long-range dependence and intermittency.
- Testing Fractional Order of Long Memory Processes: A Monte Carlo Study
- Modelling long-memory time series with finite or infinite variance: a general approach
- Stochastic differential equations with a fractionally filtered delay: a semimartingale model for long-range dependent processes
- CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY
- scientific article; zbMATH DE number 663679 (Why is no real title available?)
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