LONG-RANGE DEPENDENCE AND MIXING FOR DISCRETE TIME FRACTIONAL PROCESSES

DOI10.1111/j.1467-9892.1995.tb00237.xzbMath0820.62077OpenAlexW2097334469MaRDI QIDQ4837793

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Publication date: 14 September 1995

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1995.tb00237.x

zbMATH Keywords

difference equationsasymptotic behaviourlong-range dependencespectral densitiesmixing propertiesimpulse response sequencesecond-order propertiesfractional filterssimulated examplesdiscrete time stationary processesautocovariance sequenceextended fractional ARMA processesfractional seasonal modelslong- memory linear processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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