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首页> 外文期刊>journal of time series analysis >ESTIMATION OF THE FRACTIONAL DIFFERENCE PARAMETER IN THE ARIMA(p, d, q) MODEL USING THE SMOOTHED PERIODOGRAM
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ESTIMATION OF THE FRACTIONAL DIFFERENCE PARAMETER IN THE ARIMA(p, d, q) MODEL USING THE SMOOTHED PERIODOGRAM

机译：ESTIMATION OF THE FRACTIONAL DIFFERENCE PARAMETER IN THE ARIMA(p, d, q) MODEL USING THE SMOOTHED PERIODOGRAM

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Abstract.In recent work on time series analysis considerable interest has been focused on series having the property oflong memory.Long memory is a characteristic of time series in which the dependence between distant observations is not negligible. The model that has been most frequently studied, which in some situations shows properties of long memory, is based on the autoregressive integrated moving‐average ARIMA(p, d, q) process. Hosking (Fractional differencing,Biometrika68 (1) (1981), 165–76) generalized this model by permitting thedegree of differencing dto take fractional values. He then demonstrated that fordin the range 0

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