DEFINITIONS AND REPRESENTATIONS OF MULTIVARIATE LONG-RANGE DEPENDENT TIME SERIES

被引：30

作者：

Kechagias, Stefanos ^{[1
]}

Pipiras, Vladas ^{[1
]}

机构：

[1] Univ N Carolina, Chapel Hill, NC 27514 USA

来源：

JOURNAL OF TIME SERIES ANALYSIS | 2015年 / 36卷 / 01期

关键词：

Long-range dependence; multivariate time series; phase parameter; time and spectral domains; linear and causal representations; trigonometric power-law coefficients; FARIMA; STATIONARY FRACTIONAL COINTEGRATION; GAUSSIAN SEMIPARAMETRIC ESTIMATION; LOCAL WHITTLE ESTIMATION; BAND LEAST-SQUARES; INTEGRATED PROCESSES; MEMORY PROCESSES; SYSTEMS; MODEL;

D O I：

10.1111/jtsa.12086

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

The notion of multivariate long-range dependence is reexamined here from the perspectives of time and spectral domains. The role of the so-called phase parameters is clarified and stressed throughout. In particular, examples of causal (one-sided) representations of multivariate long-range dependent time series with general-phase parameters are constructed. A multivariate extension of the autoregressive fractionally integrated moving-average series is introduced with explicit formulas for its autocovariance function.

引用

页码：1 / 25

页数：25

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