Fractional time series modelling

Wai Keung LI, A. I. MCLEOD

Research output: Contribution to journalArticle

117 Citations (Scopus)

Abstract

Aspects 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. Copyright © 1986 Oxford University Press on behalf of Biometrika Trust.
Original languageEnglish
Pages (from-to)217-221
JournalBiometrika
Volume73
Issue number1
DOIs
Publication statusPublished - Apr 1986

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Likelihood Functions
Time Series Modelling
Maximum likelihood estimation
Model checking
Autocorrelation
Maximum likelihood
Time series
time series analysis
Fractional
Residual Autocorrelation
Portmanteau Test
Statistics
Moving Average Process
Autoregressive Moving Average
Autoregressive Process
Maximum Likelihood Estimate
autocorrelation
Maximum Likelihood Estimation
Model Checking
Test Statistic

Citation

Li, W. K., & McLeod, A. I. (1986). Fractional time series modelling. Biometrika, 73(1), 217-221. doi: 10.1093/biomet/73.1.217

Keywords

  • Fractional differencing
  • Long-memory time series
  • Maximum likelihood
  • Parsimony
  • Portmanteau test
  • Residual autocorrelation