A note on calculating autocovariances of long‐memory processes

DOI10.1111/1467-9892.00275zbMath1062.62164OpenAlexW3122842940MaRDI QIDQ4677006

Stefano Bertelli, Massimiliano Caporin

Publication date: 20 May 2005

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00275

zbMATH Keywords

long memoryARFIMA processGARMAgeneralized integrated process

Mathematics Subject Classification ID

Related Items (8)

Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment ⋮ Computation of the autocovariances for time series with multiple long-range persistencies ⋮ The ARMA alphabet soup: a tour of ARMA model variants ⋮ The CSS and the two-staged methods for parameter estimation in SARFIMA models ⋮ Nelson-Plosser revisited: the ACF approach ⋮ Computationally efficient methods for two multivariate fractionally integrated models ⋮ Efficient Estimation of Seasonal Long‐Range‐Dependent Processes ⋮ Estimation methods for stationary Gegenbauer processes

Cites Work

• A note on calculating the autocovariances of the fractionally integrated ARMA models
• Long memory processes and fractional integration in econometrics
• Estimating a generalized long memory process
• Unnamed Item

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