Regulated fractionally integrated processes

DOI10.1111/JTSA.12036MaRDI QIDQ5397975zbMATH OpenOpenAlexFDO

Authors Mirza Trokić

Publication date 25 February 2014

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

Full work available at URL http://hdl.handle.net/11693/12867

zbMATH Keywords

fractional Brownian motionfractionally integrated time seriesregulated time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: hypothesis testing (62M07)

Recommendations

• ASYMPTOTICS FOR GENERAL FRACTIONALLY INTEGRATED PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS
• Fractional cointegration in the presence of linear trends
• Testing for boundary conditions in case of fractionally integrated processes
• Regression Theory for Near-Integrated Time Series
• The Fractional Unit Root Distribution

Cites work

• scientific article; zbMATH DE number 4078444 (Why is no real title available?)
• Asymptotics for general nonstationary fractionally integrated processes without prehistoric influence
• Efficient Tests for an Autoregressive Unit Root
• LIMITED TIME SERIES WITH A UNIT ROOT
• ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
• On the return time for a reflected fractional Brownian motion process on the positive orthant
• Some thoughts on the development of cointegration
• Type I and type II fractional Brownian motions: a reconsideration
• Weak convergence of multivariate fractional processes

Cited in

(2)

• Testing for boundary conditions in case of fractionally integrated processes
• Regulated seasonal unit root process

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