In the previous paper (Pupeikis, 1998), the problem of recursive estimation of the state of linear dynamic systems, described by an autoregressive model (AR), in the presence of timevarying outliers in observations to be processed has been considered. An approach to the robust recursive state estimation has been obtained and proved by estimating the real chemical process (Box and Jenkins, 1970)...

We develop forecasting methodology for the fractional exponential (FEXP) model. First, we devise algorithms for fast exact computation of the coefficients in the infinite order autoregressive and moving average representations of a FEXP process. We also describe an algorithm to accurately approximate the autocovariances and to simulate realizations of the process. Next, we present a fast freque...

2 1 1 =0 | | d t t t p p q q d d k k t () () ()(1) () = () (0) () () (1) (1) = () ())(+ 1) () () 0 5 1. Fractionally integrated timeseries and ARFIMA modelling 1 This presentation of ARFIMA modelling draws heavily from Baum and Wiggins (2000). The model of an autoregressive fractionally integrated moving average process of a timeseries of order , denoted by ARFIMA , with mean , may be written u...