Results 131 to 140 of about 234,828 (176)

AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING

Journal of Time Series Analysis, 1980
Abstract It has become standard practice for time series analysts to consider differencing their series ‘to achieve stationarity’. By this they mean that one differences to achieve a form of the series that can be identified as an ARMA model.
Granger, C. W. J., Joyeux, Roselyne
exaly   +3 more sources

Time‐series forecasting using fractional differencing

Journal of Forecasting, 1994
AbstractThe main failure of ARIMA modelling as used in practice are the limiting constraints imposed by differencing to achieve stationarity. The use of fractional differencing opens up a much wider and realistic behaviour for the trend and seasonal components than traditional integer differencing.
exaly   +2 more sources

Generalized exponential time differencing for fractional oscillation models

Journal of Computational and Applied Mathematics
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Ibrahim Sarumi   +2 more
exaly   +2 more sources

Design of fractional Hilbert transformer using fractional differencing and different windows

2017 International Conference On Smart Technologies For Smart Nation (SmartTechCon), 2017
In this paper, first the fractional Hilbert transformer and window functions are defined along with their properties and then the existing design based on fractional differencing filter is improved by using different window functions. Then the comparison of the phase responses are shown between the existing design and the proposed design using ...
Dharmendra K Upadhyay
exaly   +2 more sources

Empirical study of ARFIMA model based on fractional differencing

Physica A: Statistical Mechanics and Its Applications, 2007
Abstract In this paper, we studied the long-term memory of Hong Kong Hang Sheng index using MRS analysis, established ARFIMA model for it, and detailed the procedure of fractional differencing. Furthermore, we compared the ARFIMA model built by this means with the one that took first-order differencing as an alternative.
Jin Xiu, Yao Jin
exaly   +2 more sources

Fractional Differencing

Biometrika, 1981
J R M Hosking
exaly   +2 more sources

ON PREDICTION WITH FRACTIONALLY DIFFERENCED ARIMA MODELS

Journal of Time Series Analysis, 1988
Abstract. 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.
Peiris, M. S, Perera, B. J. C
openaire   +2 more sources

An adaptive broadband estimator of the fractional differencing coefficient

2001 IEEE International Conference on Acoustics, Speech, and Signal Processing. Proceedings (Cat. No.01CH37221), 2002
We consider semiparametric fractional exponential (FEXP) estimators of the memory parameter d for a potentially nonstationary linear long-memory time series with smooth additive trend. We use differencing to annihilate the trend, followed by tapering to handle the potential non-invertibility of the differenced series. We propose a method of pooling the
Clifford M. Hurvich   +2 more
openaire   +1 more source

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