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 language | English |
|---|---|
| Pages (from-to) | 217-221 |
| Journal | Biometrika |
| Volume | 73 |
| Issue number | 1 |
| DOIs | |
| Publication status | Published - Apr 1986 |
Citation
Li, W. K., & McLeod, A. I. (1986). Fractional time series modelling. Biometrika, 73(1), 217-221. doi: 10.1093/biomet/73.1.217Keywords
- Fractional differencing
- Long-memory time series
- Maximum likelihood
- Parsimony
- Portmanteau test
- Residual autocorrelation