Fitting a fractional ARIMA model to time series data
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Publication:4338565
DOI10.1080/02522667.1996.10699296zbMATH Open0883.62100OpenAlexW2016482540MaRDI QIDQ4338565FDOQ4338565
Author name not available (Why is that?)
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
Recommendations
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)
Cites Work
- Title not available (Why is that?)
- Fractional differencing
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND 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
- ON ESTIMATION OF LONG-MEMORY TIME SERIES MODELS
- Parameter estimation in low order fractionally differenced ARMA processes
- REGRESSION OF SPECTRAL ESTIMATORS WITH FRACTIONALLY INTEGRATED TIME SERIES
Cited In (7)
- MODELING LONG-MEMORY PROCESSES FOR OPTIMAL LONG-RANGE PREDICTION
- Finding a fractional model from frequency and time responses
- Parameter estimation in low order fractionally differenced ARMA processes
- ON PREDICTION WITH FRACTIONALLY DIFFERENCED ARIMA MODELS
- ESTIMATION OF THE FRACTIONAL DIFFERENCE PARAMETER IN THE ARIMA(p, d, q) MODEL USING THE SMOOTHED PERIODOGRAM
- Time Domain Estimation of Long Range Dependence
- Identification of the order of a fractionally differenced ARMA model
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