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ON PREDICTION WITH FRACTIONALLY DIFFERENCED ARIMA MODELS
Author(s) -
Peiris M. S.,
Perera B. J. C.
Publication year - 1988
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1988.tb00465.x
Subject(s) - autoregressive integrated moving average , mathematics , autoregressive model , econometrics , long memory , series (stratigraphy) , autoregressive fractionally integrated moving average , time series , point (geometry) , statistics , volatility (finance) , paleontology , geometry , biology
. This paper considers some extended results associated with the predictors of long‐memory time series models. These direct methods of obtaining predictors of fractionally differenced autoregressive integrated moving‐average (ARIMA) processes have advantages from the theoretical point of view.