Regulated fractionally integrated processes

DOI10.1111/JTSA.12036zbMATH Open1282.62205OpenAlexW1872172298MaRDI QIDQ5397975FDOQ5397975

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

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

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)

Cites Work

• Some thoughts on the development of cointegration
• ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
• Weak convergence of multivariate fractional processes
• Efficient Tests for an Autoregressive Unit Root
• Title not available (Why is that?)
• On the return time for a reflected fractional Brownian motion process on the positive orthant
• LIMITED TIME SERIES WITH A UNIT ROOT
• Type I and type II fractional Brownian motions: a reconsideration
• Asymptotics for general nonstationary fractionally integrated processes without prehistoric influence

Cited In (2)

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

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