DEFINITIONS AND REPRESENTATIONS OF MULTIVARIATE LONG-RANGE DEPENDENT TIME SERIES

DOI10.1111/jtsa.12086zbMath1308.62173OpenAlexW1555022314MaRDI QIDQ2937710

Vladas Pipiras, Stefanos Kechagias

Publication date: 12 January 2015

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12086

zbMATH Keywords

long-range dependencemultivariate time seriesFARIMAtime and spectral domainsphase parameterlinear and causal representationstrigonometric power-law coefficients

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Fractional processes, including fractional Brownian motion (60G22) Inference from stochastic processes and spectral analysis (62M15) Fourier coefficients, Fourier series of functions with special properties, special Fourier series (42A16)

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