Properties of seasonal long memory processes

DOI10.1016/J.MCM.2008.12.003MaRDI QIDQ732661zbMATHOpenAlexFDO

Authors Cleber Bisognin, Sílvia R. C. Lopes

Publication date 12 October 2009

Published in Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.mcm.2008.12.003

zbMATH Keywords

ergodicitystationarityseasonalitycausalityinvertibilitylong memory models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Signal detection and filtering (aspects of stochastic processes) (60G35) Stationary stochastic processes (60G10)

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Cites work

• scientific article; zbMATH DE number 1715060 (Why is no real title available?)
• scientific article; zbMATH DE number 4102349 (Why is no real title available?)
• scientific article; zbMATH DE number 4000257 (Why is no real title available?)
• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• (MIS)SPECIFICATION OF LONG MEMORY IN SEASONAL TIME SERIES
• A closed formula for the Durbin-Levinson's algorithm in seasonal fractionally integrated pro\-ces\-ses
• A generalized fractionally differencing approach in long-memory modeling
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Fractional differencing
• Long-range dependence in mean and volatility: models, estimation and forecasting
• Long‐Memory Time Series
• On models and methods for Bayesian time series analysis
• Predictors for Seasonal and Nonseasonal Fractionally Integrated ARIMA Models
• Some simulations and applications of forecasting long-memory time-series models

Cited in

(10)

• Designing fuzzy time series forecasting models: a survey
• Long memory with seasonal effects
• Marginal density estimation for linear processes with cyclical long memory
• A closed formula for the Durbin-Levinson's algorithm in seasonal fractionally integrated pro\-ces\-ses
• Fractionally differenced Gegenbauer processes with long memory: a review
• Adaptive test for periodic ARFIMA models
• Seasonal FIEGARCH processes
• Testing fractional unit roots with non-linear smooth break approximations using Fourier functions
• Short-term load forecasting method based on fuzzy time series, seasonality and long memory process
• Explicit analytical solutions for ARL of CUSUM chart for a long-memory SARFIMA model

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Uses Software

• longmemo

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