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Article: Fractional time series modelling

TitleFractional time series modelling
Authors
Li, WKMcleod, AI
KeywordsFractional differencing
Long-memory time series
Maximum likelihood
Parsimony
Portmanteau test
Residual autocorrelation
Issue Date1986
PublisherOxford University Press. The Journal's web site is located at http://biomet.oxfordjournals.org/
Citation
Biometrika, 1986, v. 73 n. 1, p. 217-221 How to Cite?
DOI: http://dx.doi.org/10.1093/biomet/73.1.217
AbstractAspects of model building using fractionally differenced autoregressive-moving average processes are discussed. An algorithm for approximate maximum likelihood estimation is outlined and the large-sample distribution of the maximum likelihood estimates is derived. The large-sample distribution of the residual autocorrelations is also derived and a modified portmanteau test statistic is obtained for checking model adequacy. © 1986 Biometrika Trust.
Persistent Identifierhttp://hdl.handle.net/10722/137107
ISSN
0006-3444
2021 Impact Factor: 3.028
2020 SCImago Journal Rankings: 3.307
ISI Accession Number ID
WOS:A1986A734100024

 

DC FieldValueLanguage
dc.contributor.authorLi, WKen_HK
dc.contributor.authorMcleod, AIen_HK
dc.date.accessioned2011-08-16T06:16:01Z-
dc.date.available2011-08-16T06:16:01Z-
dc.date.issued1986en_HK
dc.identifier.citationBiometrika, 1986, v. 73 n. 1, p. 217-221en_HK
dc.identifier.issn0006-3444en_HK
dc.identifier.urihttp://hdl.handle.net/10722/137107-
dc.description.abstractAspects of model building using fractionally differenced autoregressive-moving average processes are discussed. An algorithm for approximate maximum likelihood estimation is outlined and the large-sample distribution of the maximum likelihood estimates is derived. The large-sample distribution of the residual autocorrelations is also derived and a modified portmanteau test statistic is obtained for checking model adequacy. © 1986 Biometrika Trust.en_HK
dc.languageeng-
dc.publisherOxford University Press. The Journal's web site is located at http://biomet.oxfordjournals.org/en_HK
dc.relation.ispartofBiometrikaen_HK
dc.subjectFractional differencingen_HK
dc.subjectLong-memory time seriesen_HK
dc.subjectMaximum likelihooden_HK
dc.subjectParsimonyen_HK
dc.subjectPortmanteau testen_HK
dc.subjectResidual autocorrelationen_HK
dc.titleFractional time series modellingen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0006-3444&volume=73&issue=1&spage=217&epage=221&date=1986&atitle=Fractional+time+series+modelling-
dc.identifier.emailLi, WK: hrntlwk@hku.hken_HK
dc.identifier.authorityLi, WK=rp00741en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1093/biomet/73.1.217en_HK
dc.identifier.scopuseid_2-s2.0-0003081894en_HK
dc.identifier.volume73en_HK
dc.identifier.issue1en_HK
dc.identifier.spage217en_HK
dc.identifier.epage221en_HK
dc.identifier.isiWOS:A1986A734100024-
dc.publisher.placeUnited Kingdomen_HK
dc.identifier.scopusauthoridLi, WK=14015971200en_HK
dc.identifier.scopusauthoridMcleod, AI=7103313539en_HK
dc.identifier.issnl0006-3444-

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