A note on calculating autocovariances of long-memory processes

被引：18

作者：

Bertelli, S ^{[1
]}

Caporin, M ^{[1
]}

机构：

[1] Univ Venice, I-30123 Venice, Italy

来源：

JOURNAL OF TIME SERIES ANALYSIS | 2002年 / 23卷 / 05期

关键词：

long memory; generalized integrated process; GARMA;

D O I：

10.1111/1467-9892.00275

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

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.

引用

页码：503 / 508

页数：6

共 50 条

[1] Sample autocovariances of long-memory time series
Horvath, Lajos
Kokoszka, Piotr
[J]. BERNOULLI, 2008, 14 (02) : 405 - 418
[2] Long-Memory Processes and Applications
Ding, Yiming
Hu, Yaozhong
Xiao, Weilin
Yan, Litan
[J]. ABSTRACT AND APPLIED ANALYSIS, 2014,
[3] A test for "long-memory" processes
Thomson, DJ
[J]. PROCEEDINGS OF THE 2003 IEEE WORKSHOP ON STATISTICAL SIGNAL PROCESSING, 2003, : 561 - 564
[4] Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series
Hosking, JRM
[J]. JOURNAL OF ECONOMETRICS, 1996, 73 (01) : 261 - 284
[5] COVARIANCES ESTIMATION FOR LONG-MEMORY PROCESSES
Wu, Wei Biao
Huang, Yinxiao
Zheng, Wei
[J]. ADVANCES IN APPLIED PROBABILITY, 2010, 42 (01) : 137 - 157
[6] Empirical processes of long-memory sequences
Wu, WB
[J]. BERNOULLI, 2003, 9 (05) : 809 - 831
[7] The Sensitivity of Detrended Long-Memory Processes
Banerjee, Anurag N.
[J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2013, 42 (20) : 3770 - 3780
[8] Aggregation of Seasonal Long-Memory Processes
Castro, Tomas del Barrio
Rachinger, Heiko
[J]. ECONOMETRICS AND STATISTICS, 2021, 17 : 95 - 106
[9] MEASURING STATIONARITY IN LONG-MEMORY PROCESSES
Sen, Kemal
Preuss, Philip
Dette, Holger
[J]. STATISTICA SINICA, 2016, 26 (01) : 313 - 357
[10] A note on calculating autocovariances of periodic ARMA models
Aknouche, Abdelhakim
Belbachir, Hacene
Hamdi, Faycal
[J]. COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, 2008, 37 (05) : 924 - 927

← 1 2 3 4 5 →