ARFIMA approximation and forecasting of
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K. S. Man; G. C. Tiao
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Article
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2009
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John Wiley and Sons
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English
β 160 KB
π 1 views
## Abstract This article studies Man and Tiao's (2006) lowβorder autoregressive fractionally integrated movingβaverage (ARFIMA) approximation to Tsai and Chan's (2005b) limiting aggregate structure of the longβmemory process. In matching the autocorrelations, we demonstrate that the approximation w