Long memory time series models

Jiří Anděl

Kybernetika (1986)

  • Volume: 22, Issue: 2, page 105-123
  • ISSN: 0023-5954

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Anděl, Jiří. "Long memory time series models." Kybernetika 22.2 (1986): 105-123. <http://eudml.org/doc/28174>.

@article{Anděl1986,
author = {Anděl, Jiří},
journal = {Kybernetika},
keywords = {stationary process; hydrological time series; periodogram; spectral density; time series models with a long memory; covariance function; seasonal fractionally differenced white noise; seasonal persistent process},
language = {eng},
number = {2},
pages = {105-123},
publisher = {Institute of Information Theory and Automation AS CR},
title = {Long memory time series models},
url = {http://eudml.org/doc/28174},
volume = {22},
year = {1986},
}

TY - JOUR
AU - Anděl, Jiří
TI - Long memory time series models
JO - Kybernetika
PY - 1986
PB - Institute of Information Theory and Automation AS CR
VL - 22
IS - 2
SP - 105
EP - 123
LA - eng
KW - stationary process; hydrological time series; periodogram; spectral density; time series models with a long memory; covariance function; seasonal fractionally differenced white noise; seasonal persistent process
UR - http://eudml.org/doc/28174
ER -

References

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  1. J. Anděl, Statistische Analyse von Zeitreihen, Akademie-Verlag, Berlin 1984. (1984) MR0762087
  2. J. Geweke, S. Porter-Hudak, The estimation and application of long memory time series models, J. Time Series Anal. 4 (1983), 221-238. (1983) Zbl0534.62062MR0738585
  3. I. C. Gradštejn, I. M. Ryžik, Tablicy integralov, summ, rjadov i proizvedenij, Izd. 4-oje, Gos. izd. fiz.-mat. literatury, Moskva 1962. (1962) 
  4. C. W. J. Granger, Long memory relationships and the aggregation of dynamic models, J. Econometrics 14 (1980), 227-238. (1980) Zbl0466.62108MR0597259
  5. C. W. Granger, R. Joyeux, An introduction to long memory time series models and fractional differencing, J. Time Series Anal. 1 (1980), 15 - 29. (1980) Zbl0503.62079MR0605572
  6. M. K. Grebenča, S. I. Novoselov, Učebnice matematické analysy II, Translated from Russian. NČSAV, Praha 1955. (1955) 
  7. E. J. Hannan, The estimation of spectral density after trend removal, J. Roy. Statist. Soc. Ser. B 20 (1958), 323-333. (1958) MR0101605
  8. J. R. M. Hosking, Fractional differencing, Biometrika 68 (1981), 165-176. (1981) Zbl0464.62088MR0614953
  9. J. R. M. Hosking, Some models of persistence in time series, In: Time Series Analysis, Theory and Practice 1, ed. O. D. Anderson (Proc. Int. Conf. Valencia, 1981), 642-653. North Holland, Amsterdam 1982. (1981) 
  10. V. Jarník, Integrální počet II, (Integral Calculus II.) NČSAV, Praha 1956. (1956) 
  11. A. Jonas, Long Memory Self Similar Series Models, (unpublished manuscript). Harvard University 1981. (1981) 
  12. B. B. Mandelbrot, A fast fractional Gaussian noise generator, Water Resour. Res. 7 (1971), 543-553. (1971) 
  13. B. B. Mandelbrot, J. W. van Ness, Fractional Brownian motion, fractional noises and applications, SIAM Rev. 10 (1968), 422-437. (1968) MR0242239
  14. B. B. Mandelbrot, J. R. Wallis, Computer experiments with fractional Gaussian noises, Water Resour. Res. 5 (1969), 228-267. (1969) 
  15. 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) 
  16. P. E. O'Connell, A simple stochastic modelling of Hurst's law, In: Mathematical Models of Hydrology. Symposium, Warsaw, Vol. 1 (1971), 169-187 (IAHS Publ. No. 100, 1974). (1971) 
  17. P. E. O'Connell, Stochastic Modelling of Long-Term Persistence in Streamflow Sequences, Ph. D. Thesis, Civil Engineering Dept., Imperial College, London 1974. (1974) 
  18. W. Rudin, Analýza v reálném a komplexním oboru, (Translated from English original Real and Complex Analysis.) Academia, Praha 1977. (1977) Zbl0925.00003MR0497401
  19. Z. Vízková, Spektrální analýza časových řad, (Spectral analysis of time series.) Ekonomicko-matematický obzor 6 (1970), 285-309. (1970) 

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