scientific article; zbMATH DE number 3982353

MaRDI QIDQ3746737zbMATH OpenFDO

Authors Jiří Anděl

Publication date 1986

Full work available at URL https://eudml.org/doc/28174

zbMATH Keywords

covariance functionhydrological time seriesperiodogramseasonal fractionally differenced white noiseseasonal persistent processspectral densitystationary processtime series models with a long memory

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Recommendations

• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• scientific article; zbMATH DE number 954436
• A generalized fractionally differencing approach in long-memory modeling
• Long memory with seasonal effects
• Long Memory in Nonlinear Processes

Cites work

• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Fractional Brownian Motions, Fractional Noises and Applications
• Fractional differencing
• scientific article; zbMATH DE number 3145675 (Why is no real title available?)
• scientific article; zbMATH DE number 1022878 (Why is no real title available?)
• scientific article; zbMATH DE number 3894313 (Why is no real title available?)
• Long memory relationships and the aggregation of dynamic models
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS

Cited in

(56)

• Modeling long term lake variations by physically based stochastic dynamic models
• A note on filtering for long memory processes
• Fractionally differenced Gegenbauer processes with long memory: a review
• State space modeling of Gegenbauer processes with long memory
• Gaussian estimation of parametric spectral density with unknown pole
• A generalized fractionally differencing approach in long-memory modeling
• A minimum distance estimator for long-memory processes
• A general frequency domain estimation method for Gegenbauer processes
• A harmonically weighted filter for cyclical long memory processes
• Asymptotic properties of the MLE for the autoregressive process coefficients under stationary Gaussian noise
• Random sampling of long-memory stationary processes
• The cyclical structure of the UK inflation rate: 1210--2016
• An approximate fractional Gaussian noise model with \(\mathcal{O}(n)\) computational cost
• Effect of the order of fractional integration on impulse responses
• Semiparametric estimation for stationary processes whose spectra have an unknown pole
• Modelling structural breaks, long memory and stock market volatility: an overview
• A parametric bootstrap test for cycles
• A new time-varying model for forecasting long-memory series
• Testing for long memory in the presence of non-linear deterministic trends with Chebyshev polynomials
• Modelling long-memory time series with finite or infinite variance: a general approach
• Impulse responses of fractionally integrated processes with long memory
• Computationally efficient methods for two multivariate fractionally integrated models
• scientific article; zbMATH DE number 4178494 (Why is no real title available?)
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Contiguity of fractional differencing
• A re-examination of the Nile river data based on long memory at the long run and the cyclical frequencies
• scientific article; zbMATH DE number 3940535 (Why is no real title available?)
• scientific article; zbMATH DE number 4060585 (Why is no real title available?)
• Modelling long-term dependence in measurement errors of plutonium concentration
• Hyperbolic Decay Time Series
• scientific article; zbMATH DE number 724880 (Why is no real title available?)
• DIFFERENTIAL GEOMETRY OFARFIMAPROCESSES
• On random white noise processes with memory for time series analysis
• scientific article; zbMATH DE number 2145172 (Why is no real title available?)
• The use of the variogram in construction of stationary time series models
• scientific article; zbMATH DE number 2154635 (Why is no real title available?)
• Analysis of the correlation structure of square time series
• scientific article; zbMATH DE number 2174795 (Why is no real title available?)
• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• Long-memory processes. Probabilistic properties and statistical methods
• A Note on Modelling Seasonal Processes in Continuous Time
• Piecewise FARIMA models for long-memory time series
• The Periodogram of fractional processes¹
• scientific article; zbMATH DE number 970191 (Why is no real title available?)
• An informatic approach to a long memory stationary process
• Forecasting highly persistent time series with bounded spectrum processes
• Modelling cycles in climate series: the fractional sinusoidal waveform process
• Long memory from Sauerbrey equation: a case in coated quartz crystal microbalance in terms of ammonia
• Cyclical long memory: decoupling, modulation, and modeling
• GARTFIMA process and its empirical spectral density based estimation
• Periodic trawl processes: simulation, statistical inference and applications in energy markets
• On several properties of a novel class of generalized Humbert autoregressive moving average process
• Testing for periodicity at an unknown frequency under cyclic long memory, with applications to respiratory muscle training
• Modeling spatio-temporal transport: from rigid advection to realistic dynamics
• Properties of seasonal long memory processes
• Estimation of seasonal fractionally integrated processes

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3746737)