AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
From MaRDI portal
Publication:3969742
ARIMA modelswhite noisefractional differencingintegrated modelslong-memory time series modelsaggregation of independent componentsinfinite filter
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)
Cites work
Cited in
(only showing first 100 items - show all)- Fitting a fractional ARIMA model to time series data
- scientific article; zbMATH DE number 7734368 (Why is no real title available?)
- Diagnostic checking in FARIMA models with uncorrelated but non-independent error terms
- Concept of dynamic memory in economics
- A note on stationary bootstrap variance estimator under long-range dependence
- New robust confidence intervals for the mean under dependence
- Optimal bias correction of the log-periodogram estimator of the fractional parameter: a jackknife approach
- Fractionally integrated time varying GARCH model
- Multidimensional scaling analysis of financial stocks based on Kronecker-delta dissimilarity
- Distinguishing between breaks in the mean and breaks in persistence under long memory
- Long memory and data frequency in financial markets
- Detecting long-range dependence with truncated ratios of periodogram ordinates
- Positivity properties of the ARFIMA\((0,d,0)\) specifications and credibility analysis of frequency risks
- A long memory model with normal mixture GARCH
- Wavelet frequency domain approach for statistical modeling of rainfall time-series data
- Bayesian estimation of fractional difference parameter in ARFIMA models and its application
- Non-parametric estimation under strong dependence
- Consumption, aggregate wealth and expected stock returns: a fractional cointegration approach
- Statistical analysis of autoregressive fractionally integrated moving average models in R
- Variance estimators in the chu‐white test for structural change
- PID: a PDF-induced distance based on permutation cross-distribution entropy
- Mean square prediction error for long-memory processes
- 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
- Generating schemes for long memory processes: regimes, aggregation and linearity
- The \(k\)-factor GARMA process with infinite variance innovations
- Pairs trading with partial cointegration
- Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models
- Residual log-periodogram inference for long-run relationships
- Long-term dependence in stock returns
- Type I and type II fractional Brownian motions: a reconsideration
- Asymptotics for duration-driven long range dependent processes
- scientific article; zbMATH DE number 3982353 (Why is no real title available?)
- A matrix evaluation of the moving-average representation
- Preliminary estimation of ARFIMA models
- Long-range dependence in the volatility of returns in Uruguayan sovereign debt indices
- On the empirical process of tempered moving averages
- The role of long memory in hedging effectiveness
- scientific article; zbMATH DE number 4060585 (Why is no real title available?)
- The detection of local irreversibility in time series based on segmentation
- Multivariate long-memory cohort mortality models
- Special issue: Long memory and nonlinear time series. Selected papers of a conference, Cardiff, UK, July 9--11, 2000
- The numerical algorithms for discrete Mittag-Leffler functions approximation
- Gronwall's inequality on discrete fractional calculus
- Concentration inequalities for empirical processes of linear time series
- Inference for impulse response coefficients from multivariate fractionally integrated processes
- On multivariate fractional random fields: tempering and operator-stable laws
- Local empirical spectral measure of multivariate processes with long range dependence.
- Estimating fractionally integrated time series models
- Linear prediction of long-range dependent time series
- Calibration of spatiotemporal forecasts from citizen science urban air pollution data with sparse recurrent neural networks
- Long memory, spurious memory: persistence in range-based volatility of exchange rates
- Central limit theorem for the empirical process of a linear sequence with long memory
- The Volatility of Realized Volatility
- Maximum likelihood estimation for a fractionally differenced autoregressive model on a two-dimensional lattice
- Asymptotics of R-, MD- and LAD-estimators in linear regression models with long range dependent errors
- Multifractal detrended fluctuation analysis: practical applications to financial time series
- Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series
- A limit theory for long-range dependence and statistical inference on related models
- Forecasting realised volatility using ARFIMA and HAR models
- Minimax-rate adaptive nonparametric regression with unknown correlations of errors
- Stochastic volatility and option pricing with long-memory in discrete and continuous time
- Limit theorems for functionals of moving averages
- Estimation in long memory time series models
- On the Structure and Estimation of Reflection Positive Processes
- Fractional integration and the volatility of UK interest rates
- On optimal block resampling for Gaussian-subordinated long-range dependent processes
- Macroeconomic models with long dynamic memory: fractional calculus approach
- Comparison of standard long memory time series
- Modified LASSO estimators for time series regression models with dependent disturbances
- Strictly stationary solutions of ARMA equations with fractional noise
- Asymptotic normality of regression estimators with long memory errors
- On two sample inference for eigenspaces in functional data analysis with dependent errors
- Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
- Robust estimation of fractional seasonal processes: modeling and forecasting daily average \(\mathrm{SO}_2\) concentrations
- Estimating the differencing parameter via the partial autocorrelation function
- 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
- Could network analysis of horizontal visibility graphs be faithfully used to infer long-term memory properties in real-world time series?
- Long memory with stochastic variance model: a recursive analysis for US inflation
- On least squares estimation for long-memory lattice processes
- Bayesian analysis of long memory and persistence using ARFIMA models
- Asymptotic behavior for partial autocorrelation functions of fractional ARIMA processes.
- An improvement of the GPH estimator.
- scientific article; zbMATH DE number 7578267 (Why is no real title available?)
- Maximum likelihood estimation of stationary multivariate ARFIMA processes
- Estimating a change point in the long memory parameter
- Sequential Monte Carlo for fractional stochastic volatility models
- A time-series modeling method based on the boosting gradient-descent theory
- Limiting spectral distribution of a new random matrix model with dependence across rows and columns
- Wavelet variance analysis for gappy time series
- Detection and attribution of climate change through econometric methods
- Bootstrap approaches for estimation and confidence intervals of long memory processes
- Estimating seasonal long-memory processes: a Monte Carlo study
- Seasonal nonlinear long memory model for the US inflation rates
- A general asymptotic theory for time-series models
- A long-memory integer-valued time series model, INARFIMA, for financial application
- Discrete fractional solutions to the effective mass Schrödinger equation by mean of nabla operator
This page was built for publication: AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3969742)
