Giraitis, Liudas ; Leipus, Remigijus
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Abstract
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.
| Document type: | Working paper |
|---|---|
| Place of Publication: | Heidelberg |
| Date Deposited: | 16 Jun 2016 08:05 |
| Date: | November 1993 |
| Number of Pages: | 21 |
| Faculties / Institutes: | The Faculty of Mathematics and Computer Science > Institut für Mathematik |
| DDC-classification: | 510 Mathematics |
| Series: | Beiträge zur Statistik > Beiträge |
