ESTIMATION OF THE FRACTIONAL DIFFERENCE PARAMETER IN THE ARIMA(p, d, q) MODEL USING THE SMOOTHED PERIODOGRAM (Q4299040)
From MaRDI portal
scientific article; zbMATH DE number 598026
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | ESTIMATION OF THE FRACTIONAL DIFFERENCE PARAMETER IN THE ARIMA(p, d, q) MODEL USING THE SMOOTHED PERIODOGRAM |
scientific article; zbMATH DE number 598026 |
Statements
ESTIMATION OF THE FRACTIONAL DIFFERENCE PARAMETER IN THE ARIMA(p, d, q) MODEL USING THE SMOOTHED PERIODOGRAM (English)
0 references
5 January 1995
0 references
general fractional differenced white noise process
0 references
time series
0 references
dependence
0 references
autoregressive integrated moving-average \(\text{ARIMA} (p,d,q)\) process
0 references
degree of differencing
0 references
smoothed periodogram
0 references
empirical approach
0 references
long memory models
0 references
raw periodogram regression method
0 references
Hurst coefficient method
0 references
