A Note on Generation, Estimation and Prediction of Stationary Processes
Some recently discussed stationary processes like fractionally integrated processes cannot be described by low order autoregressive or moving average (ARMA) models rendering the common algorithms for generation estimation and prediction partly very misleading. We offer an unified approach based on t...
| Main Authors: | , , , |
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| Format: | Others |
| Language: | en |
| Published: |
Department of Statistics and Mathematics, Abt. f. Angewandte Statistik u. Datenverarbeitung, WU Vienna University of Economics and Business
1994
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| Subjects: | |
| Online Access: | http://epub.wu.ac.at/142/1/document.pdf |