MULTIPLICATIVE EXPONENTIAL MODELS FOR STATIONARY TIME SERIES

DOI10.1111/J.1467-9892.1984.TB00376.XMaRDI QIDQ3333929zbMATH OpenOpenAlexFDO

Authors Anders Milhøj

Publication date 1984

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.1984.tb00376.x

zbMATH Keywords

long memoryfrequency domainautoregressive modelsmoving average modelsparameterized modelBeveridge wheat price indexmultiplicative exponential modelsone-dimensional stationary time seriesroots of non integer order

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Inference from stochastic processes and spectral analysis (62M15)

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• Long memory relationships and the aggregation of dynamic models
• The asymptotic theory of linear time-series models
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