Add to ORKGIn this paper we propose a strategy to decompose an ARFIMA model as a sum of linear stochastic models representing the short and long memory components. The procedure makes use of an approximate model obtained by replacing the fractional differencing operator by the ratio of two polynomials. Then, the unobserved components are derived by Decomel method and a real case study is examined
In this thesis, we have introduced a fractionally integrated autoregressive moving average model dri...
In this paper, we mainly study the solution and properties of the multiterm time-fractional diffusio...
This thesis develops generalizations of unobserved components and factor models to account for long ...
In this paper we propose a strategy to decompose an ARFIMA model as a sum of linear stochastic model...
In this article we present a semi-parametric procedure for the decomposition of an ARFIMA model in u...
In this paper a semiparametric approach is introduced to decompose an ARFIMA model in the long memor...
The purpose of this paper is to present a decomposition into trend or permanent component and cycle ...
For an autoregressive fractionally integrated moving-average ARFIMA(p, d, q) process, it is often a ...
We consider truncated (or conditional) sum of squares estimation of a parametric model composed of a...
International audienceWe consider the problem of modelling a long-memory time series using piecewise...
Extended fractional Gaussian noise (eFGN) is the limiting structure of long memory time series aggre...
International audienceThe assumption of linearity is implicitly accepted in the process which genera...
This thesis is concerned with various investigations relating to time series analysis and forecastin...
Aspects of model building using fractionally differenced autoregressive-moving average processes are...
Abstract. In this paper we investigate the properties of the estimator of degree of differencing the...
In this thesis, we have introduced a fractionally integrated autoregressive moving average model dri...
In this paper, we mainly study the solution and properties of the multiterm time-fractional diffusio...
This thesis develops generalizations of unobserved components and factor models to account for long ...
In this paper we propose a strategy to decompose an ARFIMA model as a sum of linear stochastic model...
In this article we present a semi-parametric procedure for the decomposition of an ARFIMA model in u...
In this paper a semiparametric approach is introduced to decompose an ARFIMA model in the long memor...
The purpose of this paper is to present a decomposition into trend or permanent component and cycle ...
For an autoregressive fractionally integrated moving-average ARFIMA(p, d, q) process, it is often a ...
We consider truncated (or conditional) sum of squares estimation of a parametric model composed of a...
International audienceWe consider the problem of modelling a long-memory time series using piecewise...
Extended fractional Gaussian noise (eFGN) is the limiting structure of long memory time series aggre...
International audienceThe assumption of linearity is implicitly accepted in the process which genera...
This thesis is concerned with various investigations relating to time series analysis and forecastin...
Aspects of model building using fractionally differenced autoregressive-moving average processes are...
Abstract. In this paper we investigate the properties of the estimator of degree of differencing the...
In this thesis, we have introduced a fractionally integrated autoregressive moving average model dri...
In this paper, we mainly study the solution and properties of the multiterm time-fractional diffusio...
This thesis develops generalizations of unobserved components and factor models to account for long ...