Properties of seasonal long memory processes
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Publication:732661
DOI10.1016/j.mcm.2008.12.003zbMath1171.60336OpenAlexW2038514356MaRDI QIDQ732661
Cleber Bisognin, Sílvia R. C. Lopes
Publication date: 12 October 2009
Published in: Mathematical and Computer Modelling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.mcm.2008.12.003
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Signal detection and filtering (aspects of stochastic processes) (60G35)
Related Items (8)
Seasonal FIEGARCH processes ⋮ Fractionally differenced Gegenbauer processes with long memory: a review ⋮ Explicit analytical solutions for ARL of CUSUM chart for a long-memory SARFIMA model ⋮ Short-term load forecasting method based on fuzzy time series, seasonality and long memory process ⋮ Marginal density estimation for linear processes with cyclical long memory ⋮ Designing fuzzy time series forecasting models: a survey ⋮ Testing fractional unit roots with non-linear smooth break approximations using Fourier functions ⋮ A closed formula for the Durbin-Levinson's algorithm in seasonal fractionally integrated pro\-ces\-ses
Uses Software
Cites Work
- A closed formula for the Durbin-Levinson's algorithm in seasonal fractionally integrated pro\-ces\-ses
- On models and methods for Bayesian time series analysis
- Some simulations and applications of forecasting long-memory time-series models
- A generalized fractionally differencing approach in long-memory modeling
- Long‐Memory Time Series
- Fractional differencing
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- (MIS)SPECIFICATION OF LONG MEMORY IN SEASONAL TIME SERIES
- Predictors for Seasonal and Nonseasonal Fractionally Integrated ARIMA Models
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