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Aggregation effect and forecasting temporal aggregates of long memory processes

✍ Scribed by K.S. Man; G.C. Tiao


Book ID
113647835
Publisher
Elsevier Science
Year
2006
Tongue
English
Weight
323 KB
Volume
22
Category
Article
ISSN
0169-2070

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ARFIMA approximation and forecasting of
✍ K. S. Man; G. C. Tiao πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 160 KB πŸ‘ 1 views

## Abstract This article studies Man and Tiao's (2006) low‐order autoregressive fractionally integrated moving‐average (ARFIMA) approximation to Tsai and Chan's (2005b) limiting aggregate structure of the long‐memory process. In matching the autocorrelations, we demonstrate that the approximation w