Piecewise FARIMA models for long-memory time series

DOI10.1080/00949655.2011.582470MaRDI QIDQ5300822zbMATH OpenOpenAlexFDO

Authors Li Song, Pascal Bondon

Publication date 28 June 2013

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949655.2011.582470

zbMATH Keywords

local stationaritylong memorybreak pointFARIMA model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• scientific article; zbMATH DE number 847242 (Why is no real title available?)
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• Fractional differencing
• Fractional integration and structural breaks at unknown periods of time
• Gaussian semiparametric estimation of long range dependence
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• Least-squares estimation of an unknown number of shifts in a time series
• Modeling by shortest data description
• Robustness of whittle-type estimators for time series with long-range dependence
• Spurious number of breaks
• Structural Break Estimation for Nonstationary Time Series Models
• THE TIME INTERVALS BETWEEN INDUSTRIAL ACCIDENTS
• The Hurst effect under trends

Cited in

(2)

• Modelling long-range dependence and trends in duration series: an approach based on EFARIMA and ESEMIFAR models
• Why FARIMA models are brittle

Describes a project that uses

Uses Software

• longmemo

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