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Long memory relationships and the aggregation of dynamic models. (English) Zbl 0466.62108

MSC:
62P20 Applications of statistics to economics
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62M15 Inference from stochastic processes and spectral analysis
91B84 Economic time series analysis
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[2] Granger, C.W.J.; Joyeux, R., An introduction to long-memory time series and fractional differencing, Journal of time series analysis, 1, (1980), forthcoming · Zbl 0503.62079
[3] Granger, C.W.J.; Morris, M., Time series modeling and interpretation, Journal of the royal statistical society A, 38, 246-257, (1976)
[4] Granger, C.W.J.; Newbold, P., Forecasting economic time series, (1977), Academic Press New York · Zbl 0344.62076
[5] Hipel, W.H.; McLeod, A.I., Preservation of the rescaled adjusted range, Water resources research, 14, 491-518, (1978), Parts 1-3
[6] Lawrance, A.J.; Kottegoda, N.T., Stochastic modelling of river-flow time series, Journal of the royal statistical society A, 140, 1-47, (1977)
[7] Mandelbrot, B.B.; Van Ness, J.W., Fractional Brownian motions, fractional noises and applications, SIAM review, 10, 422-437, (1968) · Zbl 0179.47801
[8] Theil, H., Linear aggregation of economic relations, (1954), North-Holland Amsterdam · Zbl 0057.36109
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