Fitting a fractional ARIMA model to time series data

DOI10.1080/02522667.1996.10699296MaRDI QIDQ4338565zbMATH OpenOpenAlexFDO

Authors

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)

Recommendations

• ESTIMATION OF THE FRACTIONAL DIFFERENCE PARAMETER IN THE ARIMA(p, d, q) MODEL USING THE SMOOTHED PERIODOGRAM
• Time Domain Estimation of Long Range Dependence
• scientific article; zbMATH DE number 2112507
• Some simulations and applications of forecasting long-memory time-series models

Cites work

• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Fractional differencing
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• 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
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS

Cited in

(11)

• Statistical analysis of autoregressive fractionally integrated moving average models in R
• Preliminary estimation of ARFIMA models
• MODELING LONG-MEMORY PROCESSES FOR OPTIMAL LONG-RANGE PREDICTION
• Parameter estimation for ARTFIMA time series
• Finding a fractional model from frequency and time responses
• Another maximum likelihood estimator for ARFIMA models using wavelets
• 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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