On fractionally differenced periodic processes
On fractionally differenced periodic processes
Summary: Long memory time series have been a topic of considerable recent interest. Applications of such processes have been made to hydrology, meteorology and economics. This paper considers modelling periodic processes with long term dependence patterns existing in the data. Fractional differencing models are studied and their estimators are discussed. An example in modelling a hospital attendance series is also presented.
- University of Hong Kong China (People's Republic of)
- University of Hong Kong (香港大學) China (People's Republic of)
martingale limit theory, Time series, auto-correlation, regression, etc. in statistics (GARCH), fractional differencing models, long term dependence patterns, maximum likelihood estimation, residual autocorrelations, portmanteau statistic, periodic processes, long memory time series, Asymptotic properties of parametric estimators, hospital attendance series
martingale limit theory, Time series, auto-correlation, regression, etc. in statistics (GARCH), fractional differencing models, long term dependence patterns, maximum likelihood estimation, residual autocorrelations, portmanteau statistic, periodic processes, long memory time series, Asymptotic properties of parametric estimators, hospital attendance series
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