scientific article; zbMATH DE number 772913

MaRDI QIDQ4838522zbMATH OpenFDO

Authors J. R. Court, Shelton Peiris

Publication date 12 July 1995

zbMATH Keywords

fractional differencingspectral density estimationlong memory time seriesestimator of degree of differencing

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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Cited in

(6)

• ON THE EFFICIENCY OF THE SAMPLE MEAN IN LONG-MEMORY NOISE
• The bias of lag window estimators of the fractional difference parameter.
• A note on time series differencing
• An efficient taper for potentially overdifferenced long-memory time series
• ESTIMATION IN LONG-MEMORY TIME SERIES MODEL
• Fast computation and practical use of amplitudes at non-Fourier frequencies

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