THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS

Journal of Time Series Analysis

Volumn 4, Issue 4, 1983, Pages 221-238

  Geweke, John ^a   Porter‐Hudak, Susan ^a  

^a DUKE UNIVERSITY   (United States)

Author keywords

Fractional differencing; Integrated models; Long memory

Indexed keywords

EID: 84986759400     PISSN: 01439782     EISSN: 14679892     Source Type: Journal    
DOI: 10.1111/j.1467-9892.1983.tb00371.x     Document Type: Article

References (18)

1. The Fitting of Time Series Models
2. An Introduction to Long Time Series Models and Fractional Differencing.
3. Long Memory Relationships and the Aggregation of Dynamic Models
4. Central Limit Theorems for Time Series Regression
5. Fractional Differencing.
6. Long Term Storage Capacity of Reservoirs
7. The Wiener RMS Criterion in Filter Design and Prediction
8. Fractional Brownian Motion, Fractional Noises and Applications
9. A Fast Fractional Gaussian Noise Generator
10. Preservation of the Rescaled Adjusted Range, I. A Reassessment of the Hurst Phenomenon.
11. On the Fitting of Multivariate Autoregressions, and the Approximate Canonical Factorization of a Spectral Density Matrix