Computation of the autocovariances for time series with multiple long-range persistencies

DOI10.1016/j.csda.2016.02.004zbMath1466.62163OpenAlexW2284115385MaRDI QIDQ1659057

Scott H. Holan, Tucker S. McElroy

Publication date: 15 August 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2016.02.004

zbMATH Keywords

long memorylong-range dependencespectral densityGegenbauerquasi-biennial oscillationsseasonal long memory

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

Related Items (3)

Cointegrated dynamics for a generalized long memory process: application to interest rates ⋮ Modelling cycles in climate series: the fractional sinusoidal waveform process ⋮ Estimation methods for stationary Gegenbauer processes

Uses Software

• R

Cites Work

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• Fractional differencing
• ON GENERALIZED FRACTIONAL PROCESSES
• A k-Factor GARMA Long-memory Model
• A note on calculating autocovariances of long‐memory processes
• An exponential model for the spectrum of a scalar time series

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