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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
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.