Sankhya: The Indian Journal of Statistics

1996, Volume 57, Series B, Pt. 1, pp. 19--31

ON FRACTALLY DIFFERENCED PERODIC PROCESSES

By

Y. V. HUI, City University of Hong Kong
and
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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