Stationary persistent time series misspecified as nonstationary arima
type: Item
instance of: scholarly article
title: Stationary persistent time series misspecified as nonstationary arima
zbMATH Open document ID: 0858.62085
DOI: 10.1007/BF02926584
author: Nuno Crato
author: Howard M. Taylor
published in: Statistical Papers
publication date: 1997-03-23T00:00:00Z
Mathematics Subject Classification ID: 62M20
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 946798
zbMATH Keywords: long-memory models
zbMATH Keywords: overdifferencing
zbMATH Keywords: nonstationary ARFIMA processes
zbMATH Keywords: autoregressive fractionally integrated moving-average processes
zbMATH Keywords: misspecification errors
zbMATH Keywords: fractional degree of integration
zbMATH Keywords: mean square forecasting error
Wikidata QID: Q57710987
MaRDI profile type: Publication
cites work: Q4862306
cites work: Time series: theory and methods.
cites work: (MIS)SPECIFICATION OF LONG MEMORY IN SEASONAL TIME SERIES
cites work: On the power of unit root tests against fractional alternatives
cites work: MODELING LONG-MEMORY PROCESSES FOR OPTIMAL LONG-RANGE PREDICTION
cites work: The Fractional Unit Root Distribution
cites work: Q4694369
description: scientific article; zbMATH DE number 946798