AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING

DOI10.1111/J.1467-9892.1980.TB00297.XzbMATH Open0503.62079OpenAlexW2055781590WikidataQ55934619 ScholiaQ55934619MaRDI QIDQ3969742FDOQ3969742

Authors: Clive W. J. Granger, Roselyne Joyeux 

Publication date: 1980

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1980.tb00297.x

zbMATH Keywords

ARIMA modelswhite noisefractional differencingintegrated modelslong-memory time series modelsaggregation of independent componentsinfinite filter

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Prediction theory (aspects of stochastic processes) (60G25) Inference from stochastic processes and spectral analysis (62M15)

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• Fractional integrals of stationary processes and the central limit theorem

Cited In (only showing first 100 items - show all)

• Concept of dynamic memory in economics
• A long memory model with normal mixture GARCH
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• Long-term dependence in stock returns
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• Fractional integration and the volatility of UK interest rates
• Asymptotic normality of regression estimators with long memory errors
• Estimating seasonal long-memory processes: a Monte Carlo study
• Wavelet variance analysis for gappy time series
• Modelling long-term dependence in measurement errors of plutonium concentration
• Second-order behavior of M-estimators in linear regression with long-memory errors
• Bootstrap assisted specification tests for the ARFIMA model
• On fractional Lévy processes: tempering, sample path properties and stochastic integration
• Change-point estimation of nonstationary \(I(d)\) processes
• LOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNS
• M-estimators in linear models with long range dependent errors
• Semiparametric estimation for seasonal long-memory time series using generalized exponential models
• On the power of the Augmented Dickey--Fuller test against fractional alternatives using bootstrap.
• Impulse responses of fractionally integrated processes with long memory
• Bias correction for the regression-based LM fractional integration test
• Memory properties and aggregation of spatial autoregressive models
• Scaling properties of foreign exchange volatility
• On continuous-time autoregressive fractionally integrated moving average processes
• Spurious regression
• On models and methods for Bayesian time series analysis
• Estimation of long-range dependence in gappy Gaussian time series
• Self-similarity in financial markets: a fractionally integrated approach
• Detecting fuzzy periodic patterns in futures spreads
• On bandwidth choice for density estimation with dependent data
• The effect of tapering on the semiparametric estimators for nonstationary long memory processes
• Simultaneous nonparametric inference of time series
• Comparison of non-parametric and semi-parametric tests in detecting long memory
• On spline regression under Gaussian subordination with long memory
• A wavelet-based approach to the analysis and modelling of financial time series exhibiting strong long-range dependence: the case of southeast Europe
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• On the maximum likelihood cointegration procedure under a fractional equilibrium error
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• Cramér type moderate deviations for random fields
• On location estimation for LARCH processes
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• A representation theory for polynomial cofractionality in vector autoregressive models
• How the instability of ranks under long memory affects large-sample inference
• Short-term load forecasting method based on fuzzy time series, seasonality and long memory process
• WAVELET ESTIMATORS FOR LONG MEMORY IN STOCK MARKETS
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• Detecting long-range dependence with truncated ratios of periodogram ordinates
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• Title not available (Why is that?)
• An explicit representation of Verblunsky coefficients
• A bootstrap causality test for covariance stationary processes
• EWMA control charts for detecting changes in the mean of a long-memory process
• A parametric bootstrap test for cycles
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• Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models
• Residual log-periodogram inference for long-run relationships
• Asymptotics for duration-driven long range dependent processes
• Gronwall's inequality on discrete fractional calculus
• Central limit theorem for the empirical process of a linear sequence with long memory
• Asymptotics of R-, MD- and LAD-estimators in linear regression models with long range dependent errors
• Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series
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• Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data
• SEMIFAR models -- a semiparametric approach to modelling trends, long-range dependence and nonstationarity

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