A Note on Calculating Autocovariances of Long-Memory Processes

In this paper, we consider a method (splitting) for calculating the autocovariances of fractional integrated processes (ARFIMA) and generalized integrated processes (GARMA). The splitting method does not require any restriction on the autoregressive roots, and allows fast calculation of the autocovariances of these processes

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Year of publication:	2003
Authors:	Bertelli, Stefano ; Caporin, Massimiliano
Publisher:	[S.l.] : SSRN
Subject:	Theorie \| Theory \| Zeitreihenanalyse \| Time series analysis

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Extent:	1 Online-Ressource (6 p)
Type of publication:	Book / Working Paper
Language:	English
Source:	ECONIS - Online Catalogue of the ZBW

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