Related papers: Seasonal fractional long-memory processes. A semip…
This paper studies seasonal long-memory processes with Gegenbauer-type spectral densities. Estimates for singularity location and long-memory parameters based on general filter transforms are proposed. It is proved that the estimates are…
Long memory in the sense of slowly decaying autocorrelations is a stylized fact in many time series from economics and finance. The fractionally integrated process is the workhorse model for the analysis of these time series. Nevertheless,…
This article develops a periodic version of a time varying parameter fractional process in the stationary region. It is a partial extension of Hosking (1981)'s article which dealt with the case where the coefficients are invariant in time.…
This paper reviews recent developments of robust estimation in linear time series models, with short and long memory correlation structures, in the presence of additive outliers. Based on the manuscripts Fajardo et al. (2009) and…
Fractionally integrated time series, exhibiting long memory with slowly decaying autocorrelations, are frequently encountered in economics, finance, and related fields. Since the seminal work of Robinson (1995), a variety of semiparametric…
In this work we propose a new class of long-memory models with time-varying fractional parameter. In particular, the dynamics of the long-memory coefficient, $d$, is specified through a stochastic recurrence equation driven by the score of…
A new model for general cyclical long memory is introduced, by means of random modulation of certain bivariate long memory time series. This construction essentially decouples the two key features of cyclical long memory: quasi-periodicity…
This paper introduces a semiparametric regression estimator of the memory parameter for long-memory time series process. It is based on the regression in a neighborhood of the zero-frequency of the periodogram averaged over epochs. The…
Maximum likelihood methods, while widely used, may be non-robust due to disagreement between the assumptions upon which the models are based and the true density probability distribution of observed data. Because the Empirical…
In practice, several time series exhibit long-range dependence or persistence in their observations, leading to the development of a number of estimation and prediction methodologies to account for the slowly decaying autocorrelations. The…
It is generally accepted that many time series of practical interest exhibit strong dependence, i.e., long memory. For such series, the sample autocorrelations decay slowly and log-log periodogram plots indicate a straight-line…
We make an observation that facilitates exact likelihood-based inference for the parameters of the popular ARFIMA model without requiring stationarity by allowing the upper bound $\bar{d}$ for the memory parameter $d$ to exceed $0.5$:…
An emerging number of modern applications involve forecasting time series data that exhibit both short-time dynamics and long-time seasonality. Specifically, time series with multiple seasonality is a difficult task with comparatively fewer…
In forecasting problems it is important to know whether or not recent events represent a regime change (low long-term predictive potential), or rather a local manifestation of longer term effects (potentially higher predictive potential).…
This paper introduces a new kind of seasonal fractional autoregressive process (SFAR) driven by fractional Gaussian noise (fGn). The new model includes a standard seasonal AR model and fGn. {The estimation of the parameters of this new…
We propose a setup for fractionally cointegrated time series which is formulated in terms of latent integrated and short-memory components. It accommodates nonstationary processes with different fractional orders and cointegration of…
This paper addresses the estimation of locally stationary long-range dependent processes, a methodology that allows the statistical analysis of time series data exhibiting both nonstationarity and strong dependency. A time-varying…
The autoregressive moving average (ARMA) model takes the significant position in time series analysis for a wide-sense stationary time series. The difference operator and seasonal difference operator, which are bases of ARIMA and SARIMA…
In many scientific fields, such as agriculture, temperature time series are of interest both as explanatory variables and as objects of study in their own right. However, at the state level, incorporating information from all possible…
We consider a time series model involving a fractional stochastic component, whose integration order can lie in the stationary/invertible or nonstationary regions and be unknown, and an additive deterministic component consisting of a…