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

MSC:
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)
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References:
[1] Gradshteyn I. S., Tables of Integrals, Series and Products, 4. ed. (1965)
[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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