A closed formula for the Durbin-Levinson's algorithm in seasonal fractionally integrated pro\-ces\-ses

DOI10.1016/J.MCM.2005.07.002zbMath1083.62083OpenAlexW2069347389MaRDI QIDQ815480

Cleber Bisognin, Eduardo H. M. Brietzke, Sílvia R. C. Lopes

Publication date: 16 February 2006

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mcm.2005.07.002

zbMATH Keywords

hypergeometric identityDurbin-Levinson's algorithmlong dependencepartial autocorrelation functionseasonal fractionally integrated models

Mathematics Subject Classification ID

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

Related Items (2)

The CSS and the two-staged methods for parameter estimation in SARFIMA models ⋮ Properties of seasonal long memory processes

Uses Software

• longmemo

Cites Work

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• Properties of seasonal long memory processes
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Characterization of the partial autocorrelation function
• Some simulations and applications of forecasting long-memory time-series models
• The Fitting of Time-Series Models
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• (MIS)SPECIFICATION OF LONG MEMORY IN SEASONAL TIME SERIES
• A comparison of estimation methods in non-stationary ARFIMA processes
• Predictors for Seasonal and Nonseasonal Fractionally Integrated ARIMA Models

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