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...
| Publié dans: | Biometrika. - Oxford University Press. - 73(1986), 1, Seite 217-221 |
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| Format: | Article en ligne |
| Langue: | English |
| Publié: |
1986
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| Accès à la collection: | Biometrika |
| Sujets: | Fractional differencing Long-memory time series Maximum likelihood Parsimony Portmanteau test Residual autocorrelation |
| Résumé: | 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 |