A closed formula for the Durbin-Levinson's algorithm in seasonal fractionally integrated pro\-ces\-ses

DOI10.1016/J.MCM.2005.07.002MaRDI QIDQ815480zbMATHOpenAlexFDO

Authors Eduardo H. M. Brietzke, Sílvia R. C. Lopes, Cleber Bisognin

Publication date 16 February 2006

Published in Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.mcm.2005.07.002

zbMATH Keywords

hypergeometric identityDurbin-Levinson's algorithmlong dependencepartial autocorrelation functionseasonal fractionally integrated models

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 4102349 (Why is no real title available?)
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• scientific article; zbMATH DE number 486467 (Why is no real title available?)
• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• (MIS)SPECIFICATION OF LONG MEMORY IN SEASONAL TIME SERIES
• A comparison of estimation methods in non-stationary ARFIMA processes
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Characterization of the partial autocorrelation function
• Fractional differencing
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Predictors for Seasonal and Nonseasonal Fractionally Integrated ARIMA Models
• Properties of seasonal long memory processes
• Some simulations and applications of forecasting long-memory time-series models
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• The Fitting of Time-Series Models

Cited in

(2)

• The CSS and the two-staged methods for parameter estimation in SARFIMA models
• Properties of seasonal long memory processes

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Uses Software

• longmemo

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