Time Series Analysis with Long Memory in View
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Publication:4554670
DOI10.1002/9781119470380zbMath1407.62019OpenAlexW2893548287MaRDI QIDQ4554670
Publication date: 9 November 2018
Published in: Wiley Series in Probability and Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/9781119470380
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Research exposition (monographs, survey articles) pertaining to statistics (62-02)
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A harmonically weighted filter for cyclical long memory processes ⋮ Forecasting highly persistent time series with bounded spectrum processes ⋮ Harmonically Weighted Processes ⋮ Detection of long range dependence in the time domain for (in)finite-variance time series ⋮ Whittle-type estimation under long memory and nonstationarity ⋮ Nonstationarity-extended Whittle estimation with discontinuity: a correction ⋮ Estimating the mean under strong persistence
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