Parameter estimation and spectrum of fractional ARIMA process

DOI10.14317/JAMI.2015.203MaRDI QIDQ5255048zbMATH OpenOpenAlexFDO

Authors J. M. Kim, Yun Kyong Kim

Publication date 11 June 2015

Published in Journal of applied mathematics & informatics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.14317/jami.2015.203

zbMATH Keywords

fractional ARIMA processesfractional Brownian motionpower spectrum densityR/S methodself-similarity

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Self-similar stochastic processes (60G18) Fractional processes, including fractional Brownian motion (60G22) Processes with independent increments; Lévy processes (60G51)

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