Fitting a fractional ARIMA model to time series data

DOI10.1080/02522667.1996.10699296zbMath0883.62100OpenAlexW2016482540MaRDI QIDQ4338565

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Publication date: 23 March 1998

Published in: Journal of Information and Optimization Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02522667.1996.10699296

zbMATH Keywords

asymptotic normalitytime domainfractionally differenced ARIMA (p,d,q) models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (1)

Time Domain Estimation of Long Range Dependence

Cites Work

• Unnamed Item
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• Parameter estimation in low order fractionally differenced ARMA processes
• REGRESSION OF SPECTRAL ESTIMATORS WITH FRACTIONALLY INTEGRATED TIME SERIES
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• ON ESTIMATION OF LONG-MEMORY TIME SERIES MODELS
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING

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