KOPS - The Institutional Repository of the University of Konstanz

Temporal aggregation of stationary and nonstationary FARIMA (p, d, 0) models

Temporal aggregation of stationary and nonstationary FARIMA (p, d, 0) models

Cite This

Files in this item

Checksum: MD5:926436b150a3adf052e123924247a294

BERAN, Jan, Dirk OCKER, 2000. Temporal aggregation of stationary and nonstationary FARIMA (p, d, 0) models

@techreport{Beran2000Tempo-667, series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie}, title={Temporal aggregation of stationary and nonstationary FARIMA (p, d, 0) models}, year={2000}, number={2000/22}, author={Beran, Jan and Ocker, Dirk} }

<rdf:RDF xmlns:dcterms="http://purl.org/dc/terms/" xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#" xmlns:bibo="http://purl.org/ontology/bibo/" xmlns:dspace="http://digital-repositories.org/ontologies/dspace/0.1.0#" xmlns:foaf="http://xmlns.com/foaf/0.1/" xmlns:void="http://rdfs.org/ns/void#" xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > <rdf:Description rdf:about="https://kops.uni-konstanz.de/rdf/resource/123456789/667"> <dcterms:rights rdf:resource="https://kops.uni-konstanz.de/page/termsofuse"/> <bibo:uri rdf:resource="http://kops.uni-konstanz.de/handle/123456789/667"/> <foaf:homepage rdf:resource="http://localhost:8080/jspui"/> <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-22T17:45:26Z</dcterms:available> <dc:contributor>Ocker, Dirk</dc:contributor> <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-22T17:45:26Z</dc:date> <dc:creator>Beran, Jan</dc:creator> <dc:rights>terms-of-use</dc:rights> <dcterms:abstract xml:lang="eng">We consider temporal aggregation of stationary and nonstationary time series with short memory, long memory and antipersistence, within the framework of fractional autoregressive processes. Asymptotically, long memory and antipersistence are preserved whereas short memory components vanish. In the case of integrated processes, the results extend Tiao's [15] to the fractional case.</dcterms:abstract> <dspace:hasBitstream rdf:resource="https://kops.uni-konstanz.de/bitstream/123456789/667/1/dp00_22.pdf"/> <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/> <dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/rdf/resource/123456789/39"/> <dcterms:title>Temporal aggregation of stationary and nonstationary FARIMA (p, d, 0) models</dcterms:title> <dc:creator>Ocker, Dirk</dc:creator> <dc:format>application/pdf</dc:format> <dcterms:issued>2000</dcterms:issued> <dc:contributor>Beran, Jan</dc:contributor> <dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/rdf/resource/123456789/39"/> <dc:language>eng</dc:language> <dcterms:hasPart rdf:resource="https://kops.uni-konstanz.de/bitstream/123456789/667/1/dp00_22.pdf"/> </rdf:Description> </rdf:RDF>

Downloads since Oct 1, 2014 (Information about access statistics)

dp00_22.pdf 70

This item appears in the following Collection(s)

Search KOPS


Browse

My Account