The use of the Bloomfield model as an approximation to ARMA processes in the context of fractional integration
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Publication:1765007
DOI10.1016/S0895-7177(04)90515-8zbMath1066.62084OpenAlexW2072630736MaRDI QIDQ1765007
Publication date: 22 February 2005
Published in: Mathematical and Computer Modelling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0895-7177(04)90515-8
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)
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Cites Work
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- Efficient parameter estimation for self-similar processes
- Long memory relationships and the aggregation of dynamic models
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- Fitting long-memory models by generalized linear regression
- Efficient Tests of Nonstationary Hypotheses
- A Fractional Dickey-Fuller Test for Unit Roots
- An exponential model for the spectrum of a scalar time series
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