ON PREDICTION WITH FRACTIONALLY DIFFERENCED ARIMA MODELS

M. S. Peiris and B. J. C. Perera

Journal of Time Series Analysis, 1988, vol. 9, issue 3, 215-220

Abstract: Abstract. This paper considers some extended results associated with the predictors of long‐memory time series models. These direct methods of obtaining predictors of fractionally differenced autoregressive integrated moving‐average (ARIMA) processes have advantages from the theoretical point of view.

Date: 1988
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