Asymptotic behavior for partial autocorrelation functions of fractional ARIMA processes.

DOI10.1214/aoap/1037125870zbMath1073.62553OpenAlexW2057849933MaRDI QIDQ1872355

Akihiko Inoue

Publication date: 6 May 2003

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1037125870

zbMATH Keywords

Asymptotic behaviorfractional ARIMA processpartial autocorrelation function

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)

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Uses Software

• longmemo

Cites Work

• Time series: theory and methods.
• Characterization of the partial autocorrelation function
• Regularly varying correlation functions and KMO-Langevin equations
• Asymptotics for prediction errors of stationary processes with reflection positivity
• Asymptotics for the partial autocorrelation function of a stationary process
• Fractional ARIMA with stable innovations
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
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