{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,1,13]],"date-time":"2026-01-13T03:04:09Z","timestamp":1768273449236,"version":"3.49.0"},"reference-count":33,"publisher":"Springer Science and Business Media LLC","issue":"5","license":[{"start":{"date-parts":[[2013,2,23]],"date-time":"2013-02-23T00:00:00Z","timestamp":1361577600000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/www.springer.com\/tdm"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Comput Stat"],"published-print":{"date-parts":[[2013,10]]},"DOI":"10.1007\/s00180-013-0408-7","type":"journal-article","created":{"date-parts":[[2013,2,22]],"date-time":"2013-02-22T06:22:25Z","timestamp":1361514145000},"page":"2309-2331","source":"Crossref","is-referenced-by-count":38,"title":["Statistical analysis of autoregressive fractionally integrated moving average models in R"],"prefix":"10.1007","volume":"28","author":[{"given":"Javier E.","family":"Contreras-Reyes","sequence":"first","affiliation":[]},{"given":"Wilfredo","family":"Palma","sequence":"additional","affiliation":[]}],"member":"297","published-online":{"date-parts":[[2013,2,23]]},"reference":[{"issue":"6","key":"408_CR1","doi-asserted-by":"crossref","first-page":"716","DOI":"10.1109\/TAC.1974.1100705","volume":"19","author":"H Akaike","year":"1974","unstructured":"Akaike H (1974) A new look at the statistical model identification. IEEE Trans Automat Contr 19(6):716\u2013723","journal-title":"IEEE Trans Automat Contr"},{"issue":"3","key":"408_CR2","doi-asserted-by":"crossref","first-page":"817","DOI":"10.2307\/2938229","volume":"59","author":"D Andrews","year":"1991","unstructured":"Andrews D (1991) Heteroskedasticity and autocorrelation consistent covariance matrix estimation. Econometrica 59(3):817\u2013858","journal-title":"Econometrica"},{"issue":"4","key":"408_CR3","doi-asserted-by":"crossref","first-page":"953","DOI":"10.2307\/2951574","volume":"60","author":"D Andrews","year":"1992","unstructured":"Andrews D, Monahan JC (1992) An improved heteroskedasticity and autocorrelation consistent covariance matrix estimator. Econometrica 60(4):953\u2013966","journal-title":"Econometrica"},{"key":"408_CR4","volume-title":"Statistics for long-memory processes","author":"J Beran","year":"1994","unstructured":"Beran J (1994) Statistics for long-memory processes. Chapman & Hall, New York"},{"key":"408_CR5","doi-asserted-by":"crossref","first-page":"61","DOI":"10.1016\/S0167-9473(97)00045-5","volume":"27","author":"L Bisaglia","year":"1998","unstructured":"Bisaglia L, Gu\u00e9gan D (1998) A comparison of techniques of estimation in long-memory processes. Comput Stat Data Anal 27:61\u201381","journal-title":"Comput Stat Data Anal"},{"key":"408_CR6","unstructured":"Contreras-Reyes JE, Goerg G, Palma W (2011) Estimation, diagnostic and forecasting Functions for ARFIMA models. R package version 0.1.8. http:\/\/cran.r-project.org\/web\/packages\/afmtools\/index.html"},{"key":"408_CR7","unstructured":"Contreras-Reyes J, Idrovo B (2011) En busca de un modelo Benchmark Univariado para predecir la tasa de desempleo de Chile. Cuad Econ 30(55):105\u2013125"},{"key":"408_CR8","doi-asserted-by":"crossref","unstructured":"Dahlhaus R (1989) Efficient parameter estimation for self-similar processes. Ann Stat 17(4):1749\u20131766","DOI":"10.1214\/aos\/1176347393"},{"issue":"3","key":"408_CR9","doi-asserted-by":"crossref","first-page":"253","DOI":"10.1080\/07350015.1995.10524599","volume":"13","author":"F Diebold","year":"1995","unstructured":"Diebold F, Mariano R (1995) Comparing predictive accuracy. J Bus Econ Stat 13(3):253\u2013263","journal-title":"J Bus Econ Stat"},{"issue":"6","key":"408_CR10","doi-asserted-by":"crossref","first-page":"1545","DOI":"10.1111\/j.1468-0262.2006.00718.x","volume":"74","author":"R Giacomini","year":"2006","unstructured":"Giacomini R, White H (2006) Tests of conditional predictive ability. Econometrica 74(6):1545\u20131578","journal-title":"Econometrica"},{"key":"408_CR11","volume-title":"Table of Integrals, Series, and Products","author":"IS Gradshteyn","year":"2007","unstructured":"Gradshteyn IS, Ryzhik IM (2007) Table of Integrals, Series, and Products, 7th edn. Elsevier, Amsterdam","edition":"7"},{"key":"408_CR12","doi-asserted-by":"crossref","first-page":"15","DOI":"10.1111\/j.1467-9892.1980.tb00297.x","volume":"1","author":"CW Granger","year":"1980","unstructured":"Granger CW, Joyeux R (1980) An introduction to long-memory time series models and fractional differencing. J Time Ser Anal 1:15\u201329","journal-title":"J Time Ser Anal"},{"issue":"1","key":"408_CR13","doi-asserted-by":"crossref","first-page":"1","DOI":"10.2307\/2347679","volume":"38","author":"J Haslett","year":"1989","unstructured":"Haslett J, Raftery AE (1989) Space-time modelling with long-memory dependence: assessing Ireland\u2019s wind power resource (with Discussion). Appl Stat 38(1):1\u201350","journal-title":"Appl Stat"},{"issue":"6","key":"408_CR14","doi-asserted-by":"crossref","first-page":"1861","DOI":"10.1017\/S0266466610000216","volume":"26","author":"U Hassler","year":"2010","unstructured":"Hassler U, Kokoszka PS (2010) Impulse responses of fractionally integrated processes with long memory. Economet Theor 26(6):1861\u20131885","journal-title":"Economet Theor"},{"key":"408_CR15","unstructured":"Hipel KW, McLeod AI (1994) Time series modelling of water resources and environmental systems. Elsevier, Amsterdam"},{"issue":"1","key":"408_CR16","doi-asserted-by":"crossref","first-page":"165","DOI":"10.1093\/biomet\/68.1.165","volume":"68","author":"JR Hosking","year":"1981","unstructured":"Hosking JR (1981) Fractional differencing. Biometrika 68(1):165\u2013176","journal-title":"Biometrika"},{"issue":"3","key":"408_CR17","doi-asserted-by":"crossref","first-page":"1","DOI":"10.18637\/jss.v027.i03","volume":"27","author":"RJ Hyndman","year":"2008","unstructured":"Hyndman RJ, Khandakar Y (2008) Automatic time series forecasting: the forecast Package for R. J Stat Softw 27(3):1\u201322","journal-title":"J Stat Softw"},{"issue":"1","key":"408_CR18","doi-asserted-by":"crossref","first-page":"19","DOI":"10.1016\/0304-4149(95)00034-8","volume":"60","author":"PS Kokoszka","year":"1995","unstructured":"Kokoszka PS, Taqqu MS (1995) Fractional ARIMA with stable innovations. Stoch Proc Appl 60(1):19\u201347","journal-title":"Stoch Proc Appl"},{"issue":"1","key":"408_CR19","doi-asserted-by":"crossref","first-page":"99","DOI":"10.1016\/j.jeconom.2008.09.021","volume":"147","author":"O Lieberman","year":"2008","unstructured":"Lieberman O, Phillips PCB (2008) A complete asymptotic series for the autocovariance function of a long memory process. J Econometrics 147(1):99\u2013103","journal-title":"J Econometrics"},{"issue":"2","key":"408_CR20","doi-asserted-by":"crossref","first-page":"459","DOI":"10.1111\/1467-9868.00187","volume":"61","author":"A Lumley","year":"1999","unstructured":"Lumley A, Heagerty P (1999) Weighted Empirical adaptive variance estimators for correlated data regression. J Roy Stat Soc B 61(2):459\u2013477","journal-title":"J Roy Stat Soc B"},{"key":"408_CR21","doi-asserted-by":"crossref","unstructured":"Newey WK, West KD (1987) A simple, positive semidefinite, Heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55(3):703\u2013708","DOI":"10.2307\/1913610"},{"key":"408_CR22","doi-asserted-by":"crossref","DOI":"10.1002\/9780470131466","volume-title":"Long-memory time series, theory and methods","author":"W Palma","year":"2007","unstructured":"Palma W (2007) Long-memory time series, theory and methods. Wiley, Hoboken"},{"issue":"5","key":"408_CR23","doi-asserted-by":"crossref","first-page":"2958","DOI":"10.1214\/10-AOS812","volume":"38","author":"W Palma","year":"2010","unstructured":"Palma W, Olea R (2010) An efficient estimator for locally stationary Gaussian long-memory processes. Ann Stat 38(5):2958\u20132997","journal-title":"Ann Stat"},{"issue":"1","key":"408_CR24","doi-asserted-by":"crossref","first-page":"86","DOI":"10.1002\/for.1259","volume":"32","author":"W Palma","year":"2013","unstructured":"Palma W, Olea R, Ferreira G (2013) Estimation and forecasting of locally stationary processes. J Forecast 32(1):86\u201396","journal-title":"J Forecast"},{"issue":"3","key":"408_CR25","doi-asserted-by":"crossref","first-page":"215","DOI":"10.1111\/j.1467-9892.1988.tb00465.x","volume":"9","author":"M Peiris","year":"1988","unstructured":"Peiris M, Perera B (1988) On prediction with fractionally differenced ARIMA models. J Time Ser Anal 9(3):215\u2013220","journal-title":"J Time Ser Anal"},{"key":"408_CR26","doi-asserted-by":"crossref","DOI":"10.1007\/978-3-642-61786-7","volume-title":"Quadpack: a subroutine package for automatic integration","author":"R Piessens","year":"1983","unstructured":"Piessens R, de Doncker-Kapenga E, Uberhuber C, Kahaner D (1983) Quadpack: a subroutine package for automatic integration. Springer, New York"},{"key":"408_CR27","unstructured":"R Development Core Team (2012) R: A language and environment for statistical computing. Foundation for Statistical Computing, Vienna. ISBN 3-900051-07-0. http:\/\/www.R-project.org"},{"key":"408_CR28","unstructured":"Singleton RC (1979) Mixed radix fast fourier transforms. In: IEEE Digital Signal Processing Committee (eds) Programs for Digital Signal Processing. IEEE Press, New York"},{"issue":"1\u20133","key":"408_CR29","doi-asserted-by":"crossref","first-page":"165","DOI":"10.1016\/0304-4076(92)90084-5","volume":"53","author":"F Sowell","year":"1992","unstructured":"Sowell F (1992) Maximum likelihood estimation of stationary univariate fractionally integrated time series models. J Econom 53(1\u20133):165\u2013188","journal-title":"J Econom"},{"key":"408_CR30","doi-asserted-by":"crossref","unstructured":"Whittle P (1953) Estimation and information in stationary time series. Ark Mat 2:423\u2013434","DOI":"10.1007\/BF02590998"},{"key":"408_CR31","unstructured":"Wold H (1938) A study in the analysis of stationary time series, vol 53. Almqvist and Wiksell, Uppsala, pp 165\u2013188"},{"issue":"10","key":"408_CR32","doi-asserted-by":"crossref","first-page":"1","DOI":"10.18637\/jss.v011.i10","volume":"11","author":"A Zeileis","year":"2004","unstructured":"Zeileis A (2004) Econometric Computing with HC and HAC Covariance Matrix Estimators. J Stat Softw 11(10):1\u201317","journal-title":"J Stat Softw"},{"issue":"9","key":"408_CR33","doi-asserted-by":"crossref","first-page":"1","DOI":"10.18637\/jss.v016.i09","volume":"16","author":"A Zeileis","year":"2006","unstructured":"Zeileis A (2006) Object-oriented Computation of Sandwich Estimators. J Stat Softw 16(9):1\u201316","journal-title":"J Stat Softw"}],"container-title":["Computational Statistics"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s00180-013-0408-7.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/article\/10.1007\/s00180-013-0408-7\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s00180-013-0408-7","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,5,6]],"date-time":"2024-05-06T10:39:24Z","timestamp":1714991964000},"score":1,"resource":{"primary":{"URL":"http:\/\/link.springer.com\/10.1007\/s00180-013-0408-7"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2013,2,23]]},"references-count":33,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2013,10]]}},"alternative-id":["408"],"URL":"https:\/\/doi.org\/10.1007\/s00180-013-0408-7","relation":{},"ISSN":["0943-4062","1613-9658"],"issn-type":[{"value":"0943-4062","type":"print"},{"value":"1613-9658","type":"electronic"}],"subject":[],"published":{"date-parts":[[2013,2,23]]}}}