title: A Generalized Fractionally Differencing Approach inLong-Memory Modelling
creator: Giraitis, Liudas
creator: Leipus, Remigijus
subject: ddc-510
subject: 510 Mathematics
description: We extend the class of known fractional ARIMA models to the class ofgeneralized ARIMA models which allows the generation of long-memory time serieswith long-range periodical behaviour at a finite number of spectrum frequences.The exact asymptotics of the covariance function and the spectrum at the pointsof peaks and zeroes are given. For obtaining asymptotic expansions, Gegenbauerpolynomials are used. Consistent parameter estimating is discussed using Whittle's estimate.
date: 1993-11
type: Working paper
type: info:eu-repo/semantics/workingPaper
type: NonPeerReviewed
format: application/pdf
identifier: https://archiv.ub.uni-heidelberg.de/volltextserverhttps://archiv.ub.uni-heidelberg.de/volltextserver/21334/1/beitrag.17.pdf
identifier: DOI:10.11588/heidok.00021334
identifier: urn:nbn:de:bsz:16-heidok-213344
identifier:   Giraitis, Liudas ; Leipus, Remigijus  (1993) A Generalized Fractionally Differencing Approach inLong-Memory Modelling.  [Working paper]     
relation: https://archiv.ub.uni-heidelberg.de/volltextserver/21334/
rights: info:eu-repo/semantics/openAccess
rights: http://archiv.ub.uni-heidelberg.de/volltextserver/help/license_urhg.html
language: eng