ESTIMATION OF THE FRACTIONAL DIFFERENCE PARAMETER IN THE ARIMA(p, d, q) MODEL USING THE SMOOTHED PERIODOGRAM
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Publication:4299040
DOI10.1111/j.1467-9892.1994.tb00198.xzbMath0803.62084OpenAlexW2124942867MaRDI QIDQ4299040
Publication date: 5 January 1995
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.1994.tb00198.x
time seriesdependencesmoothed periodogramempirical approachlong memory modelsdegree of differencingautoregressive integrated moving-average \(\text{ARIMA} (p,d,q)\) processgeneral fractional differenced white noise processHurst coefficient methodraw periodogram regression method
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