Identification of fractional differencing autoregressive models†

DOI10.1080/03610929508831638MaRDI QIDQ4337090zbMATH OpenOpenAlexFDO

Authors Guibin Li

Publication date 19 May 1997

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610929508831638

zbMATH Keywords

fractional differencingidentification methodLevinson algorithmlong memory

Mathematics Subject Classification ID

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

Recommendations

• Identification of the order of a fractionally differenced ARMA model
• Identification of Fractional Models from Frequency Data
• ON PREDICTION WITH FRACTIONALLY DIFFERENCED ARIMA MODELS
• scientific article; zbMATH DE number 1133214
• scientific article; zbMATH DE number 6148097
• Estimation of the dominating frequency for stationary and nonstationary fractional autoregressive models

Cites work

• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• ASYMPTOTICS FOR THE LOW-FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG-MEMORY TIME SERIES
• Efficient parameter estimation for self-similar processes
• Fractional differencing
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS

Cited in

(4)

• Identification of the order of a fractionally differenced ARMA model
• Identification of Fractional-Order Continuous-Time Hybrid Box-Jenkins Models Using Refined Instrumental Variable Continuous-Time Fractional-Order Method
• The distribution of the low frequency periodogram ordinates of fractionally differenced series and their inclusion in two estimators of the differencing parameter
• Identification of Fractional Models from Frequency Data

This page was built for publication: Identification of fractional differencing autoregressive models^†

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4337090)