An introduction to long-memory time series models and fractional differencing. (English) Zbl 0503.62079


62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62M20 Inference from stochastic processes and prediction
62M15 Inference from stochastic processes and spectral analysis
62P20 Applications of statistics to economics
60G25 Prediction theory (aspects of stochastic processes)
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[8] DOI: 10.1016/0304-3932(78)90021-1
[9] DOI: 10.2307/3212527 · Zbl 0354.60010
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