Small-sample Autocorrelation Structure for Long-memory Time Series

DOI10.1057/JORS.1990.102MaRDI QIDQ3486698zbMATH OpenOpenAlexFDO

Authors Oliver D. Anderson

Publication date 1990

Published in The Journal of the Operational Research Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1057/jors.1990.102

zbMATH Keywords

forecastingzerospolynomialunit circlelong-memory time seriesnon-stationary caseARIMA processsample autocorrelation functionsimulated seriesARUMA modelratios of limiting serial covariance expectationsserial correlation behaviour

Mathematics Subject Classification ID

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

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Cited in

(6)

• The serial correlation structure for a random process with steps
• PARTIAL AUTOCORRELATION PROPERTIES FOR NON-STATIONARY AUTOREGRESSIVE MOVING-AVERAGE MODELS
• More effective time-series analysis and forecasting
• ESTIMATION OF THE NON-STATIONARY FACTOR IN ARUMA MODELS
• On SPC for Short Run Autocorrelated Data
• Discriminating between nonstationary and nearly nonstationary time series models: A simulation study

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