| Title:
|
Long memory time series models (English) |
| Author:
|
Anděl, Jiří |
| Language:
|
English |
| Journal:
|
Kybernetika |
| ISSN:
|
0023-5954 |
| Volume:
|
22 |
| Issue:
|
2 |
| Year:
|
1986 |
| Pages:
|
105-123 |
| . |
| Category:
|
math |
| . |
| MSC:
|
60G10 |
| MSC:
|
62M09 |
| MSC:
|
62M10 |
| MSC:
|
62M15 |
| idZBL:
|
Zbl 0607.62111 |
| idMR:
|
MR849684 |
| . |
| Date available:
|
2009-09-24T17:52:02Z |
| Last updated:
|
2012-06-05 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/125019 |
| . |
| Reference:
|
[1] J. Anděl: Statistische Analyse von Zeitreihen.Akademie-Verlag, Berlin 1984. MR 0762087 |
| Reference:
|
[2] J. Geweke, S. Porter-Hudak: The estimation and application of long memory time series models.J. Time Series Anal. 4 (1983), 221-238. Zbl 0534.62062, MR 0738585 |
| Reference:
|
[3] I. C. Gradštejn, I. M. Ryžik: Tablicy integralov, summ, rjadov i proizvedenij.Izd. 4-oje, Gos. izd. fiz.-mat. literatury, Moskva 1962. |
| Reference:
|
[4] C. W. J. Granger: Long memory relationships and the aggregation of dynamic models.J. Econometrics 14 (1980), 227-238. Zbl 0466.62108, MR 0597259 |
| Reference:
|
[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. Zbl 0503.62079, MR 0605572 |
| Reference:
|
[6] M. K. Grebenča, S. I. Novoselov: Učebnice matematické analysy II.Translated from Russian. NČSAV, Praha 1955. |
| Reference:
|
[7] E. J. Hannan: The estimation of spectral density after trend removal.J. Roy. Statist. Soc. Ser. B 20 (1958), 323-333. MR 0101605 |
| Reference:
|
[8] J. R. M. Hosking: Fractional differencing.Biometrika 68 (1981), 165-176. Zbl 0464.62088, MR 0614953 |
| Reference:
|
[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. |
| Reference:
|
[10] V. Jarník: Integrální počet II.(Integral Calculus II.) NČSAV, Praha 1956. |
| Reference:
|
[11] A. Jonas: Long Memory Self Similar Series Models.(unpublished manuscript). Harvard University 1981. |
| Reference:
|
[12] B. B. Mandelbrot: A fast fractional Gaussian noise generator.Water Resour. Res. 7 (1971), 543-553. |
| Reference:
|
[13] B. B. Mandelbrot, J. W. van Ness: Fractional Brownian motion, fractional noises and applications.SIAM Rev. 10 (1968), 422-437. MR 0242239 |
| Reference:
|
[14] B. B. Mandelbrot, J. R. Wallis: Computer experiments with fractional Gaussian noises.Water Resour. Res. 5 (1969), 228-267. |
| Reference:
|
[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. |
| Reference:
|
[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). |
| Reference:
|
[17] P. E. O'Connell: Stochastic Modelling of Long-Term Persistence in Streamflow Sequences.Ph. D. Thesis, Civil Engineering Dept., Imperial College, London 1974. |
| Reference:
|
[18] W. Rudin: Analýza v reálném a komplexním oboru.(Translated from English original Real and Complex Analysis.) Academia, Praha 1977. Zbl 0925.00003, MR 0497401 |
| Reference:
|
[19] Z. Vízková: Spektrální analýza časových řad.(Spectral analysis of time series.) Ekonomicko-matematický obzor 6 (1970), 285-309. |
| . |
