Fractional differencing
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Publication:3915870
DOI10.1093/biomet/68.1.165zbMath0464.62088OpenAlexW4242671632WikidataQ64026023 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 seriesfractional Brownian motionfractional differencingARMA processesautoregressive integrated moving-average processlong-term persistence
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processes ⋮ Evaluating the efficiency of fractional integration parameter estimators ⋮ Randomly fractionally integrated processes ⋮ Estimation of Time-Varying Long Memory Parameter Using Wavelet Method ⋮ THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS ⋮ Autoregressive approximation in nonstandard situations: the fractionally integrated and non-invertible cases ⋮ AR and MA representation of partial autocorrelation functions, with applications ⋮ Tests for Trend: A Simulation Study ⋮ Testing Fractional Order of Long Memory Processes: A Monte Carlo Study ⋮ On linear processes with dependent innovations ⋮ Unit roots: periodogram ordinate ⋮ Statistical properties of detrended fluctuation analysis ⋮ Maximum likelihood estimation of stationary multivariate ARFIMA processes ⋮ Parametric estimation for ARFIMA models via spectral methods ⋮ Explicit representation of finite predictor coefficients and its applications ⋮ Bayesian wavelet analysis of autoregressive fractionally integrated moving-average processes ⋮ A fractional linear system view of the fractional Brownian motion ⋮ On discriminating between long-range dependence and changes in mean ⋮ On estimating the cumulant generating function of linear processes ⋮ Bandwidth estimation for best-effort internet traffic ⋮ Estimation Methods of the Long Memory Parameter: Monte Carlo Analysis and Application ⋮ Dynamic admission control in hybrid QoS networks with WiFi access ⋮ On location estimation for LARCH processes ⋮ Accumulative prediction error and the selection of time series models ⋮ Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes ⋮ Econometric analysis of microscopic simulation models ⋮ The aggregation of dynamic relationships caused by incomplete information ⋮ Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations ⋮ On functional limits of short- and long-memory linear processes with GARCH(1,1) noises ⋮ Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes ⋮ An Empirical Strategy to Detect Spurious Effects in Long Memory and Occasional-Break Processes ⋮ LONG RANGE DEPENDENCE, UNBALANCED HAAR WAVELET TRANSFORMATION AND CHANGES IN LOCAL MEAN LEVEL ⋮ Thek-factor GARMA Process with Infinite Variance Innovations ⋮ VALID EDGEWORTH EXPANSIONS FOR THE WHITTLE MAXIMUM LIKELIHOOD ESTIMATOR FOR STATIONARY LONG-MEMORY GAUSSIAN TIME SERIES ⋮ Semiparametric Whittle estimation of a cyclical long-memory time series based on generalised exponential models ⋮ Discrete fractional solutions of a Legendre equation ⋮ Discrete fractional solutions of an associated Laguerre equation ⋮ Inference on a Structural Break in Trend with Fractionally Integrated Errors ⋮ On a Szegö type limit theorem, the Hölder-Young-Brascamp-Lieb inequality, and the asymptotic theory of integrals and quadratic forms of stationary fields ⋮ A GENERALIZED MULTISCALE ANALYSIS OF THE PREDICTIVE CONTENT OF EURODOLLAR IMPLIED VOLATILITIES ⋮ ALTERNATIVE FREQUENCY AND TIME DOMAIN VERSIONS OF FRACTIONAL BROWNIAN MOTION ⋮ A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES ⋮ Unnamed Item ⋮ A novel Bayesian approach to estimate long memory parameter ⋮ Cosine-based variable bandwidth selection for nonparametric spectral density estimation under long-range dependence ⋮ Fast and Exact Simulation of Complex-Valued Stationary Gaussian Processes Through Embedding Circulant Matrix ⋮ WAVELET ESTIMATORS FOR LONG MEMORY IN STOCK MARKETS ⋮ A multivariate long-memory model with structural breaks ⋮ A generalized ARFIMA process with Markov-switching fractional differencing parameter ⋮ Prediction of Long-Range Dependent Time Series Data with Performance Guarantee ⋮ BOOTSTRAP ASSISTED SPECIFICATION TESTS FOR THE ARFIMA MODEL ⋮ ON GENERALIZED FRACTIONAL PROCESSES ⋮ A bivariate fractionally cointegrated relationship in the context of cyclical structures ⋮ On a New Definition of the Fractional Difference ⋮ Testing unit roots and long range dependence of foreign exchange ⋮ Structural breaks in time series ⋮ Optimal convergence rates in non-parametric regression with fractional time series errors ⋮ Modelling long-run trends and cycles in financial time series data ⋮ Local empirical spectral measure of multivariate processes with long range dependence. ⋮ On the power of durbin-watson statistic against fractionally integrated processes ⋮ Tests of long memory: a bootstrap approach ⋮ The rescaled variance statistic and the determination of the Hurst exponent ⋮ Fitting non-Gaussian persistent data ⋮ Variance estimators in the chu‐white test for structural change ⋮ WHY FARIMA MODELS ARE BRITTLE ⋮ Estimation in long memory time series models ⋮ Semiparametric estimation for stationary processes whose spectra have an unknown pole ⋮ Unnamed Item
