A note on time series differencing

MaRDI QIDQ3380377zbMATH OpenFDO

Authors Firuz Kamalov

Publication date 28 September 2021

Full work available at URL https://gjom.org/index.php/gjom/article/view/609/336

zbMATH Keywords

ARMAautocovariancedifferencingstationarystrictly stationarytime seriesweakly stationary

Mathematics Subject Classification ID

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

Recommendations

• RECOGNIZING OVERDIFFERENCED TIME SERIES
• Increment-Vector Methodology: Transforming Non-Stationary Series to Stationary Series
• Autocovariance functions of series and of their transforms
• Testing a time series for difference stationarity
• scientific article; zbMATH DE number 772913

Cited in

(4)

• THE EFFECTS OF DIFFERENCING ON THE GAUSSIAN LIKELIHOOD OF MODELS WITH UNOBSERVABLE STOCHASTIC TRENDS: A SIMPLE EXAMPLE
• RECOGNIZING OVERDIFFERENCED TIME SERIES
• Increment-Vector Methodology: Transforming Non-Stationary Series to Stationary Series
• scientific article; zbMATH DE number 800085 (Why is no real title available?)

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