Sample autocorrelations of nonstationary fractionally integrated series

DOI10.1007/BF02925214zbMATH Open0883.62022MaRDI QIDQ1370193FDOQ1370193

Authors: Uwe Hassler 

Publication date: 26 October 1997

Published in: Statistical Papers (Search for Journal in Brave)

Recommendations

• The sample autocorrelation function of \(I(1)\) processes
• Asymptotics for general nonstationary fractionally integrated processes without prehistoric influence
• Distribution asymptotique des autocorrélations d'un processus saisonnier non stationnaire
• Higher-order sample autocorrelations and the unit root hypothesis

zbMATH Keywords

sample autocorrelationsnonstationary fractionally integrated processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Cites Work

• Title not available (Why is that?)
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Fractional Brownian Motions, Fractional Noises and Applications
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• The Invariance Principle for Stationary Processes
• The Fractional Unit Root Distribution
• Weak convergence to fractional brownian motion and to the rosenblatt process
• Long-Term Memory in Stock Market Prices
• Time Series Regression with a Unit Root
• On the power of unit root tests against fractional alternatives
• ASYMPTOTIC PROPERTIES OF THE SAMPLE AUTOCORRELATIONS AND PARTIAL AUTOCORRELATIONS OF A MULTIPLICATIVE ARIMA PROCESS
• On estimation of a regression model with long-memory stationary errors
• Higher-order sample autocorrelations and the unit root hypothesis
• Trends versus Random Walks in Time Series Analysis
• Bias in the sample autocorrelations of fractional noise
• The behaviour of the sample autocorrelation function for an integrated moving average process
• The Asymptotic Distribution of the Sample Autocorrelations for an Integrated ARMA Process
• The sample autocorrelation function of \(I(1)\) processes
• PARTIAL AUTOCORRELATION PROPERTIES FOR NON-STATIONARY AUTOREGRESSIVE MOVING-AVERAGE MODELS

Cited In (9)

• Spurious persistence in stochastic volatility
• Title not available (Why is that?)
• On the origin of high persistence in GARCH-models
• Spurious multivariate regressions under fractionally integrated processes
• Small-sample Autocorrelation Structure for Long-memory Time Series
• Asymptotics for general nonstationary fractionally integrated processes without prehistoric influence
• Distribution asymptotique des autocorrélations d'un processus saisonnier non stationnaire
• THE ASYMPTOTIC PROPERTIES OF THE SAMPLE AUTOCORRELATIONS FOR A MULTIPLE AUTOREGRESSIVE PROCESS WITH ONE UNIT ROOT
• Limiting efficiency of OLS vs. GLS when regressors are fractionally integrated

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