DOI: 10.1111/j.1467-9892.1980.tb00297.x. AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING

AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING

10.1111/j.1467-9892.1980.tb00297.x

Crossref journal-article

Wiley

Journal of Time Series Analysis (311)

Abstract

Abstract. The idea of fractional differencing is introduced in terms of the infinite filter that corresponds to the expansion of (1‐B)d. When the filter is applied to white noise, a class of time series is generated with distinctive properties, particularly in the very low frequencies and provides potentially useful long‐memory forecasting properties. Such models are shown to possibly arise from aggregation of independent components. Generation and estimation of these models are considered and applications on generated and real data presented.

Bibliography

Granger, C. W. J., & Joyeux, R. (1980). AN INTRODUCTION TO LONGâMEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING. Journal of Time Series Analysis, 1(1), 15â29. Portico.

Authors 2

C. W. J. Granger (first)
Roselyne Joyeux (additional)

References 9 Referenced 2,373

{'key': 'e_1_2_1_2_1', 'volume-title': 'Tables of Integrals, Series and Products', 'author': 'Gradshteyn I. S.', 'year': '1965'} / Tables of Integrals, Series and Products by Gradshteyn I. S. (1965)
Granger C. W. J.(1980)Long Memory Relationships and the Aggregation of Dynamic Models. To appearJournal of Econometrics. (10.1016/0304-4076(80)90092-5)
10.1016/0304-4076(74)90034-7
10.1029/WR014i003p00491
10.2307/2344516
10.1137/1010093
10.1029/WR007i003p00543
10.1016/0304-3932(78)90021-1
10.2307/3212527

Dates

Type	When
Created	17 years, 4 months ago (May 4, 2008, 9:24 p.m.)
Deposited	1 year, 9 months ago (Nov. 20, 2023, 12:57 p.m.)
Indexed	1 day, 20 hours ago (Sept. 4, 2025, 9:51 a.m.)
Issued	45 years, 8 months ago (Jan. 1, 1980)
Published	45 years, 8 months ago (Jan. 1, 1980)
Published Online	17 years, 2 months ago (June 28, 2008)
Published Print	45 years, 8 months ago (Jan. 1, 1980)

Funders 0

None

BibTeX

@article{Granger_1980, title={AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING}, volume={1}, ISSN={1467-9892}, url={http://dx.doi.org/10.1111/j.1467-9892.1980.tb00297.x}, DOI={10.1111/j.1467-9892.1980.tb00297.x}, number={1}, journal={Journal of Time Series Analysis}, publisher={Wiley}, author={Granger, C. W. J. and Joyeux, Roselyne}, year={1980}, month=jan, pages={15–29} }

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