On the invertibility of fractionally differenced ARIMA processes

DOI10.1093/BIOMET/80.3.703MaRDI QIDQ4280040zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

autoregressive inversiondegree of fractionally differencinginvertibility of fractional ARIMA \((p,d,q)\) processesmean squared errorpredictionprediction errorrate of convergence

Mathematics Subject Classification ID

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

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(12)

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

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