Identification of fractional differencing autoregressive models†
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Publication:4337090
DOI10.1080/03610929508831638zbMATH Open0875.62421OpenAlexW1963977200MaRDI QIDQ4337090FDOQ4337090
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
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Cites Work
- Fractional differencing
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- Efficient parameter estimation for self-similar processes
- Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- ASYMPTOTICS FOR THE LOW-FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG-MEMORY TIME SERIES
Cited In (4)
- Identification of Fractional-Order Continuous-Time Hybrid Box-Jenkins Models Using Refined Instrumental Variable Continuous-Time Fractional-Order Method
- Identification of Fractional Models from Frequency Data
- The distribution of the low frequency periodogram ordinates of fractionally differenced series and their inclusion in two estimators of the differencing parameter
- Identification of the order of a fractionally differenced ARMA model
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