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Design of fractional Hilbert transformer using fractional differencing and different windows
2017 International Conference On Smart Technologies For Smart Nation (SmartTechCon), 2017In 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 ...
Sushil Kumar, Dharmendra K. Upadhyay
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On the Invertibility of Fractionally Differenced ARIMA Processes
Biometrika, 1993Summary: To evaluate how the condition for invertibility of fractional ARIMA \((p,d,q)\) processes can be achieved, we formulate a measure based on the prediction error related to the autoregressive inversion. Some results are obtained by investigating the behaviour of the measure.
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Fractionally Differenced and Fractionally Integrated Processes
2016The adjective “fractional” appears frequently in the names of processes related to long-range dependence; two immediate examples are the fractional Brownian motion of Example 3.5.1 and the fractional Gaussian noise introduced in Section 5 ...
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Fractionally differenced models for water quality time series
Annals of Operations Research, 1987This paper deals with the selection and evaluation of statistical techniques for use in the modeling and forecasting of water quality time series. The focus is on statistical concepts relevant to the analysis of flows and concentrations. A selection of time series procedures has been used for auditing water quality archival data, including the ...
W. Smith, C. M. Harris
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Parameter estimation in low order fractionally differenced ARMA processes
Stochastic Hydrology and Hydraulics, 1989zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Boes, D. C., Davis, R. A., Gupta, S. N.
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An adaptive broadband estimator of the fractional differencing coefficient
2001 IEEE International Conference on Acoustics, Speech, and Signal Processing. Proceedings (Cat. No.01CH37221), 2002We 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
C. Hurvich, E. Moulines, P. Soulier
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On fractionally differenced periodic processes
2010Summary: Long memory time series have been a topic of considerable recent interest. Applications of such processes have been made to hydrology, meteorology and economics. This paper considers modelling periodic processes with long term dependence patterns existing in the data.
Hui, YV, Li, WK
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Forecasting costs incurred from unit differencing fractionally integrated processes
International Journal of Forecasting, 1994This paper investigates the cost of the assuming a unit difference when the series is only fractionally integrated with an integration parameter d not-equal 1. Studies have pointed to the low power of unit root tests against a fractionally integrated alternative, and have noted the performance of these tests is worse than against nearly integrated ...
Jeremy Smith, Sanjay Yadav
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Generalized exponential time differencing for fractional oscillation models
Journal of Computational and Applied MathematicszbMATH Open Web Interface contents unavailable due to conflicting licenses.
Aljowhara H. Honain +3 more
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A wavelet solution to the spurious regression of fractionally differenced processes
Applied Stochastic Models in Business and Industry, 2003AbstractIn this paper we propose to overcome the problem of spurious regression between fractionally differenced processes by applying the discrete wavelet transform (DWT) to both processes and then estimating the regression in the wavelet domain. The DWT is known to approximately decorrelate heavily autocorrelated processes and, unlike applying a ...
Fan, Yanqin, Whitcher, Brandon
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