Fractional time series modelling
BiometrikaPublished 1 January 1986
W. K. Li, A. Ian McLeod
Citations178
SJR quartileQ1
SJR score3.60
SNIP2.67
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Abstract
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.
Keywords
MathematicsEconomics, Econometrics and Finance
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