Granger, C. W. J.; Joyeux, Roselyne An introduction to long-memory time series models and fractional differencing. (English) Zbl 0503.62079 J. Time Ser. Anal. 1, 15-29 (1980). Page: −5 −4 −3 −2 −1 ±0 +1 +2 +3 +4 +5 Show Scanned Page Cited in 6 ReviewsCited in 496 Documents MSC: 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) Keywords:long-memory time series models; fractional differencing; infinite filter; white noise; integrated models; ARIMA models; aggregation of independent components PDF BibTeX XML Cite \textit{C. W. J. Granger} and \textit{R. Joyeux}, J. Time Ser. Anal. 1, 15--29 (1980; Zbl 0503.62079) Full Text: DOI References: [1] Gradshteyn I. S., Tables of Integrals, Series and Products, 4. ed. (1965) [2] C. W. J. Granger (1980 ) Long Memory Relationships and the Aggregation of Dynamic Models. To appearJournal of Econometrics. · Zbl 0466.62108 [3] DOI: 10.1016/0304-4076(74)90034-7 · Zbl 0319.62072 [4] Hipel, Water Resources Research 14 pp 491– (1978) [5] Lawrance A. J., Journal of the Royal Statistical Society 140 pp 1– (1977) [6] DOI: 10.1137/1010093 · Zbl 0179.47801 [7] Mandelbrot B. B., Water Resources Research 7 pp 543– (1971) [8] DOI: 10.1016/0304-3932(78)90021-1 [9] DOI: 10.2307/3212527 · Zbl 0354.60010 This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. It attempts to reflect the references listed in the original paper as accurately as possible without claiming the completeness or perfect precision of the matching.