A generalized fractionally differencing approach in long-memory modeling

DOI10.1007/BF02337754zbMath0837.62066MaRDI QIDQ1907493

Liudas Giraitis, Remigijus Leipus

Publication date: 25 February 1996

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

zbMATH Keywords

covariance functionzerosasymptotic expansionsGegenbauer polynomialsWhittle's estimatepeakslong-memory time seriesexact asymptoticsfractional ARIMA modelsfractional ARUMA modelslong-range periodical behaviorspectrum frequencies

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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