On the invertibility of fractionally differenced ARIMA processes

DOI10.1093/BIOMET/80.3.703zbMATH Open0785.62089OpenAlexW2154949802MaRDI QIDQ4280040FDOQ4280040

Authors: Mitsuhiro Odaki 

Publication date: 26 April 1994

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/80.3.703

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zbMATH Keywords

predictionrate of convergenceprediction errormean squared errorautoregressive inversiondegree of fractionally differencinginvertibility of fractional ARIMA \((p,d,q)\) processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited In (11)

• Minimum distance estimation of \(k\)-factors GARMA processes
• Minimum distance estimation of stationary and non‐stationary ARFIMA processes
• Inversion of Wiener-Hopf truncated operators and prediction error for continuous time ARMA processes
• Bayesian analysis of long memory and persistence using ARFIMA models
• The invertibility of sampled and aggregated ARMA models
• Long memory processes and fractional integration in econometrics
• A Class of Antipersistent Processes
• On the inversion of an autoregressive process of finite order
• Minimum Hellinger distance estimation of an ARFIMA process
• ASYMPTOTICS FOR GENERAL FRACTIONALLY INTEGRATED PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS
• Minimum Hellinger distance estimates for a periodically time-varying long memory parameter

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