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Long memory relationships and the aggregation of dynamic models. (English) Zbl 0466.62108


MSC:

62P20 Applications of statistics to economics
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62M15 Inference from stochastic processes and spectral analysis
91B84 Economic time series analysis
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References:

[1] Box, G. E.P.; Jenkins, G. M., Time series analysis, forecasting and control (1970), Holden Day: Holden Day San Francisco, CA · Zbl 0109.37303
[2] Granger, C. W.J.; Joyeux, R., An introduction to long-memory time series and fractional differencing, Journal of Time Series Analysis, 1 (1980), forthcoming · Zbl 0503.62079
[3] Granger, C. W.J.; Morris, M., Time series modeling and interpretation, Journal of the Royal Statistical Society A, 38, 246-257 (1976)
[4] Granger, C. W.J.; Newbold, P., Forecasting economic time series (1977), Academic Press: Academic Press New York · Zbl 0344.62076
[5] Hipel, W. H.; McLeod, A. I., Preservation of the rescaled adjusted range, Water Resources Research, 14, 491-518 (1978), Parts 1-3
[6] Lawrance, A. J.; Kottegoda, N. T., Stochastic modelling of river-flow time series, Journal of the Royal Statistical Society A, 140, 1-47 (1977)
[7] Mandelbrot, B. B.; Van Ness, J. W., Fractional Brownian motions, fractional noises and applications, SIAM Review, 10, 422-437 (1968) · Zbl 0179.47801
[8] Theil, H., Linear aggregation of economic relations (1954), North-Holland: North-Holland Amsterdam · Zbl 0057.36109
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. In some cases that data have been complemented/enhanced by data from zbMATH Open. This attempts to reflect the references listed in the original paper as accurately as possible without claiming completeness or a perfect matching.