Revisiting the Autocorrelation of Long Memory Time Series Models
نویسندگان
چکیده
In this article we first revisit some earlier work on fractionally differenced white noise and correct issues with previously published formulae. We then look at vector processes derive formula for the Autocorrelation function, which is extended in to a larger range of parameter values than considered elsewhere, compare work.
منابع مشابه
Long memory time series models
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ژورنال
عنوان ژورنال: Mathematics
سال: 2023
ISSN: ['2227-7390']
DOI: https://doi.org/10.3390/math11040817