AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
作者:
C. W. J. Granger,
Roselyne Joyeux,
期刊:
Journal of Time Series Analysis
(WILEY Available online 1980)
卷期:
Volume 1,
issue 1
页码: 15-29
ISSN:0143-9782
年代: 1980
DOI:10.1111/j.1467-9892.1980.tb00297.x
出版商: Blackwell Publishing Ltd
关键词: Fractional differencing;long‐memory;integrated models
数据来源: WILEY
摘要:
Abstract.The idea of fractional differencing is introduced in terms of the infinite filter that corresponds to the expansion of (1‐B)d. When the filter is applied to white noise, a class of time series is generated with distinctive properties, particularly in the very low frequencies and provides potentially useful long‐memory forecasting properties. Such models are shown to possibly arise from aggregation of independent components. Generation and estimation of these models are considered and applications on generated and real data presen
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