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An introduction to long-memory time series models and fractional differencing. (English) Zbl 0503.62079

62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62M20 Inference from stochastic processes and prediction
62M15 Inference from stochastic processes and spectral analysis
62P20 Applications of statistics to economics
60G25 Prediction theory (aspects of stochastic processes)
Full Text: DOI
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[2] C. W. J. Granger (1980 ) Long Memory Relationships and the Aggregation of Dynamic Models. To appearJournal of Econometrics. · Zbl 0466.62108
[3] DOI: 10.1016/0304-4076(74)90034-7 · Zbl 0319.62072
[4] Hipel, Water Resources Research 14 pp 491– (1978)
[5] Lawrance A. J., Journal of the Royal Statistical Society 140 pp 1– (1977)
[6] DOI: 10.1137/1010093 · Zbl 0179.47801
[7] Mandelbrot B. B., Water Resources Research 7 pp 543– (1971)
[8] DOI: 10.1016/0304-3932(78)90021-1
[9] DOI: 10.2307/3212527 · Zbl 0354.60010
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