The article proposes a criterion for the estimation of the best ARMA(1,1) process which approximates a given fractionally integrated process.
Spectral approximation to the fractional differencing operator / Piccolo, Domenico; Corduas, Marcella. - STAMPA. - CNR-GNDCI 1, n.2908:(2006), pp. 11-23.
Spectral approximation to the fractional differencing operator
PICCOLO, DOMENICO;CORDUAS, MARCELLA
2006
Abstract
The article proposes a criterion for the estimation of the best ARMA(1,1) process which approximates a given fractionally integrated process.File in questo prodotto:
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