Small-sample Autocorrelation Structure for Long-memory Time Series

DOI10.1057/jors.1990.102zbMath0706.62081OpenAlexW2020088723MaRDI QIDQ3486698

Oliver D. Anderson

Publication date: 1990

Published in: Journal of the Operational Research Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1057/jors.1990.102

zbMATH Keywords

zerosunit circlepolynomialforecastinglong-memory time seriesnon-stationary caseARIMA processsample autocorrelation functionsimulated seriesARUMA modelratios of limiting serial covariance expectationsserial correlation behaviour

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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