MULTIPLICATIVE EXPONENTIAL MODELS FOR STATIONARY TIME SERIES

DOI10.1111/j.1467-9892.1984.tb00376.xzbMath0544.62087OpenAlexW1966053310MaRDI QIDQ3333929

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

frequency domainlong memoryautoregressive modelsmoving average modelsparameterized modelBeveridge wheat price indexmultiplicative exponential modelsone-dimensional stationary time seriesroots of non integer order

Mathematics Subject Classification ID

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

Cites Work

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

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