Sankhya: The Indian Journal of Statistics
1996, Volume 57, Series B, Pt. 1, pp. 19--31
ON FRACTALLY DIFFERENCED PERODIC PROCESSES
Y. V. HUI, City University of Hong Kong
W. K. LI, University of Hong Kong
SUMMARY. Long memory time series has been a topic of considerable recent interest. Applications of such processes have been made hydrology, meteorology and economics. This paper considers modeling periodic processes with long term dependence patterns existing in the data. Fractional differencing models are studied and their estimators are discussed. An example in modeling a hospital attendance series is also presented.
AMS (1990) subject classification. 62M10.
Key words and phrases. Fractional differencing, maimum likelihood estimation, periodic process, portmanteau statitic.
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