Fractional differencing
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Publication:3915870
DOI10.1093/biomet/68.1.165zbMath0464.62088WikidataQ64026023 ScholiaQ64026023MaRDI QIDQ3915870
Publication date: 1981
Published in: Biometrika (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/biomet/68.1.165
time series; fractional Brownian motion; fractional differencing; ARMA processes; autoregressive integrated moving-average process; long-term persistence
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
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