Two-dimensional long memory models

Jiří Anděl; María Gómez

Kybernetika (1988)

  • Volume: 24, Issue: 1, page 1-16
  • ISSN: 0023-5954

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Anděl, Jiří, and Gómez, María. "Two-dimensional long memory models." Kybernetika 24.1 (1988): 1-16. <http://eudml.org/doc/27587>.

@article{Anděl1988,
author = {Anděl, Jiří, Gómez, María},
journal = {Kybernetika},
keywords = {autoregressive representations; moving average representations; two- dimensional model; back-shift operator; Exact formulae; spectral density; covariance function; long memory dependence},
language = {eng},
number = {1},
pages = {1-16},
publisher = {Institute of Information Theory and Automation AS CR},
title = {Two-dimensional long memory models},
url = {http://eudml.org/doc/27587},
volume = {24},
year = {1988},
}

TY - JOUR
AU - Anděl, Jiří
AU - Gómez, María
TI - Two-dimensional long memory models
JO - Kybernetika
PY - 1988
PB - Institute of Information Theory and Automation AS CR
VL - 24
IS - 1
SP - 1
EP - 16
LA - eng
KW - autoregressive representations; moving average representations; two- dimensional model; back-shift operator; Exact formulae; spectral density; covariance function; long memory dependence
UR - http://eudml.org/doc/27587
ER -

References

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  1. J. Anděl, Long memory time series models, Kybernetika 22 (1986), 105-123. (1986) MR0849684
  2. W. Dunsmuir, E. J. Hannan, Vector linear time series models, J. Appl. Probab. 10 (1973), 130-145. (1973) MR0365960
  3. G. M. Fichtengolc, Kurs differencialnogo i integralnogo isčislenija III, Gos. izd. fiz.-mat. lit., Moskva 1960. (1960) 
  4. J. Geweke, S. Porter-Hudak, The estimation and application of long memory time series models, J. Time Ser. Anal. 4 (1983), 221-238. (1983) Zbl0534.62062MR0738585
  5. C. W. Granger, R. Joyeux, An introduction to long memory time series models and fractional differencing, J. Time Ser. Anal. 1 (1980), 15-29. (1980) Zbl0503.62079MR0605572
  6. J. R. M. Hosking, Fractional differencing, Biometrika 68 (1981), 165-176. (1981) Zbl0464.62088MR0614953
  7. A. I. McLeod, K. W. Hipel, Preservation of the rescaled adjusted range. 1. A reassessment of the Hurst phenomenon, Water Resour. Res. 14 (1978), 491-508. (1978) 

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