Fractional Time Series Modelling
Aspects of model building using fractionally differenced autoregressive-moving average processes are discussed. An algorithm for approximate maximum likelihood estimation is outlined and the large-sample distribution of the maximum likelihood estimates is derived. The large-sample distribution of th...
| Veröffentlicht in: | Biometrika. - Oxford University Press. - 73(1986), 1, Seite 217-221 |
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| Format: | Online-Aufsatz |
| Sprache: | English |
| Veröffentlicht: |
1986
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| Zugriff auf das übergeordnete Werk: | Biometrika |
| Schlagworte: | Fractional differencing Long-memory time series Maximum likelihood Parsimony Portmanteau test Residual autocorrelation |
| Zusammenfassung: | Aspects of model building using fractionally differenced autoregressive-moving average processes are discussed. An algorithm for approximate maximum likelihood estimation is outlined and the large-sample distribution of the maximum likelihood estimates is derived. The large-sample distribution of the residual autocorrelations is also derived and a modified portmanteau test statistic is obtained for checking model adequacy. |
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| ISSN: | 14643510 |
| DOI: | 10.2307/2336289 |