Long memory relationships and the aggregation of dynamic models
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Publication:1155319
DOI10.1016/0304-4076(80)90092-5zbMath0466.62108OpenAlexW2124357853MaRDI QIDQ1155319
Publication date: 1980
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4076(80)90092-5
aggregation of dynamic modelsARIMA-processesfractional differencing of time serieslong memory relationships
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Economic time series analysis (91B84)
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