Identification of fractional differencing autoregressive models † |
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| Authors: | Guibin Li |
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| Institution: | Department of Probability and Statistics , Peking University , Beijing, China |
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| Abstract: | This paper proposes an identification method to fractional differencing autoregressive models, and this method gives a consistent estimator for fractional differencing order and efficient estimates for parameters in fractional differencing autoregressive models. |
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| Keywords: | long memory fractional differencing Levinson algorithm identification method |
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