AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
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Publication:3969742
DOI10.1111/j.1467-9892.1980.tb00297.xzbMath0503.62079OpenAlexW2055781590WikidataQ55934619 ScholiaQ55934619MaRDI QIDQ3969742
Roselyne Joyeux, Clive W. J. Granger
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
white noisefractional differencingARIMA modelsintegrated modelslong-memory time series modelsaggregation of independent componentsinfinite filter
Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Prediction theory (aspects of stochastic processes) (60G25)
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