Linear Trend with Fractionally Integrated Errors

DOI10.1111/1467-9892.00099zbMath0904.62101OpenAlexW2036423589MaRDI QIDQ4216175

Rohit S. Deo, Clifford M. Hurvich

Publication date: 21 October 1998

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

Full work available at URL: https://doi.org/10.1111/1467-9892.00099

zbMATH Keywords

taperingdifferencingadditive long-memory noise

Mathematics Subject Classification ID

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

Related Items (16)

Estimation methods for the LRD parameter under a change in the mean ⋮ Monitoring mean and variance change-points in long-memory time series ⋮ Estimating fractional cointegration in the presence of polynomial trends ⋮ Fractional cointegration in the presence of linear trends ⋮ Convergence analysis of superoptimal PCG algorithm for Toeplitz systems with a Fisher-Hartwig singularity ⋮ Semiparametric analysis of long-range dependence in nonlinear regression ⋮ Tests for Trend: A Simulation Study ⋮ Gradual changes in long memory processes with applications ⋮ Change-Point Estimation in Long Memory Nonparametric Models with Applications ⋮ A simple test of changes in mean in the possible presence of long-range dependence ⋮ Change-in-mean problem for long memory time series models with applications ⋮ An I(\(d\)) model with trend and cycles ⋮ Polynomial Trend Regression With Long‐memory Errors ⋮ The Slow Convergence of Ordinary Least Squares Estimators of α, β and Portfolio Weights under Long‐Memory Stochastic Volatility ⋮ Testing fractional unit roots with non-linear smooth break approximations using Fourier functions ⋮ SEMIFAR models -- a semiparametric approach to modelling trends, long-range dependence and nonstationarity

This page was built for publication: Linear Trend with Fractionally Integrated Errors