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~subject:"ARMA model"
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ARMA model
spatial differencing
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1
Nonfractional long-range dependence : long memory, antipersistence, and aggregation
Vera-Valdés, J. Eduardo
- In:
Econometrics : open access journal
9
(
2021
)
4
,
pp. 1-18
This paper used cross-sectional aggregation as the inspiration for a model with long-range dependence that arises in actual data. One of the advantages of our model is that it is less brittle than fractionally integrated processes. In particular, we showed that the antipersistent phenomenon is...
Persistent link: https://www.econbiz.de/10012697497
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2
Cointegrated dynamics for a generalized long memory process : application to interest rates
Asai, Manabu
;
Peiris, Shelton
;
McAleer, Michael
;
Allen, …
- In:
Journal of time series econometrics
12
(
2020
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10012258310
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3
Temporal aggregation of stationary and nonstationary FARIMA (p, d, 0) models
Beran, Jan
;
Ocker, Dirk
-
2000
We consider temporal aggregation of stationary and nonstationary time series with short memory, long memory and antipersistence, within the framework of fractional autoregressive processes. Asymptotically, long memory and antipersistence are preserved whereas short memory components vanish. In...
Persistent link: https://www.econbiz.de/10011543358
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4
SEMIFAR models : a semiparametric framework for modelling trends, long range dependence and nonstationarity
Beran, Jan
-
1999
, including a fractional and an integer
differencing
parameter, can be estimated by maximum likelihood. deterministic trends are …
Persistent link: https://www.econbiz.de/10011543808
Saved in:
5
SEMIFAR forecasts, with applications to foreign exchange rates
Beran, Jan
;
Ocker, Dirk
-
1999
SEMIFAR models introduced in Beran (1999) provide a semiparametric modelling framework that enables the data analyst to separate deterministic and stochastic trends as well as short- and long-memory components in an observed time series. A correct distinction between these components, and in...
Persistent link: https://www.econbiz.de/10011544579
Saved in:
6
SEMIFAR models
Beran, Jan
;
Feng, Yuanhua
;
Ocker, Dirk
-
1999
trend is estimated by a kernel method. The
differencing
and fractional
differencing
parameters as well as the autoregressive …
Persistent link: https://www.econbiz.de/10009793259
Saved in:
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