Long Memory Models
Reference work entry
Time series exhibiting varying forms of strong dependence are considered. Stationary parametric and semiparametric models, and their estimation, are first discussed. We go on to review nonlinear, nonstationary and multivariate models.
KeywordsARMA processes Cointegration Fourier frequencies Fractional autoregressive integrated moving average (FARIMA) Fractional noise Generalized method of moments (GMM) Long memory models Maximum likelihood Multivariate models Nonlinear models Nonstationary models Semiparametric estimation Statistical inference Time series analysis Whittle estimates
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