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- W4256283382 abstract "This chapter addresses seven additional topics that are relevant for practice. The topics include model selection and specification testing, spurious long memory, forecasting, cyclical and seasonal models, long memory in volatility, fractional cointegration and R packages. The maximum likelihood (ML) estimators require the specification of a parametric model. The chapter focuses on the simple case of a time-varying, stochastic mean function superimposed by an iid process. There is a growing literature on tests designed to discriminate between true and spurious long memory. Forecasting under long memory was a major motivation to study fractionally integrated models. The chapter also focuses on long memory models where the singularity in the spectrum does not occur at the origin but at some frequency. It is natural to allow for a singularity at the origin on top of a cyclical singularity, or for more than one cyclical singularity, in particular in the case of seasonal time series." @default.
- W4256283382 created "2022-05-12" @default.
- W4256283382 date "2018-09-28" @default.
- W4256283382 modified "2023-10-14" @default.
- W4256283382 title "Further Topics" @default.
- W4256283382 doi "https://doi.org/10.1002/9781119470380.ch11" @default.
- W4256283382 hasPublicationYear "2018" @default.
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