ESTIMATION OF THE FRACTIONAL DIFFERENCE PARAMETER IN THE ARIMA(p, d, q) MODEL USING THE SMOOTHED PERIODOGRAM

DOI10.1111/j.1467-9892.1994.tb00198.xzbMath0803.62084OpenAlexW2124942867MaRDI QIDQ4299040

Valdério Anselmo Reisen

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

zbMATH Keywords

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

Mathematics Subject Classification ID

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

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Cites Work

• Discrimination between monotonic trends and long-range dependence
• Fractional differencing
• Fractional Brownian Motions, Fractional Noises and Applications
• The Asymptotic Distribution of the Range of Sums of Independent Random Variables
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