Volume 19 Issue 3 (July-September 2003)

previous < 11 of 27 > next

Long memory time series and short term forecasts

Man, K.S.
Pages 477-491
Abstract

This article studies the usefulness of low order ARMA models in the prediction of long memory time series with fractionally differenced ARFIMA(0,d,0) structure, -0.5

Keywords: Fractionally differenced ARFIMA model , ARMA model , Prediction horizon , Predictability memory , Consumer Price Index , Inflation rate
FULL TEXT LINK
http://dx.doi.org/10.1016/S0169-2070(02)00060-2
ONLINE SUPPLEMENTS
COMMENTSPost a comment