Piecewise FARIMA models for long-memory time series

DOI10.1080/00949655.2011.582470zbMATH Open1431.62419OpenAlexW2156295845MaRDI QIDQ5300822FDOQ5300822

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

Recommendations

• Structural changes estimation for strongly dependent processes
• A generalized fractionally differencing approach in long-memory modeling
• Estimation of structural mean breaks for long-memory data sets
• scientific article; zbMATH DE number 3982353
• Long memory versus structural breaks: an overview

zbMATH Keywords

local stationaritylong memorybreak pointFARIMA model

Mathematics Subject Classification ID

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

Cites Work

• LASS: a tool for the local analysis of self-similarity
• Title not available (Why is that?)
• Estimating the dimension of a model
• The Hurst effect under trends
• Estimating the number of change-points via Schwarz' criterion
• Least-squares estimation of an unknown number of shifts in a time series
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Estimating and Testing Linear Models with Multiple Structural Changes
• Structural Break Estimation for Nonstationary Time Series Models
• Gaussian semiparametric estimation of long range dependence
• A test for a change in a parameter occurring at an unknown point
• Bayesian methods for change-point detection in long-range dependent processes
• Discrimination between monotonic trends and long-range dependence
• Modeling by shortest data description
• Change‐Point Estimation of Fractionally Integrated Processes
• Robustness of whittle-type estimators for time series with long-range dependence
• Critical values for multiple structural change tests
• Estimating restricted structural change models
• A storage model with self-similar input
• Break detection for a class of nonlinear time series models
• Asymptotic self‐similarity and wavelet estimation for long‐range dependent fractional autoregressive integrated moving average time series with stable innovations
• THE TIME INTERVALS BETWEEN INDUSTRIAL ACCIDENTS
• Fractional integration and structural breaks at unknown periods of time
• Spurious number of breaks

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

Uses Software

• longmemo

This page was built for publication: Piecewise FARIMA models for long-memory time series

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5300822)