Palma W. Long-Memory Time Series: Theory and Methods

Wiley, 2007. — 306 p. — ISBN: 0470114029, 9780470114025A self-contained, contemporary treatment of the analysis of long-range dependent dataLong-Memory Time Series: Theory and Methods provides an overview of the theory and methods developed to deal with long-range dependent data and describes the applications of these methodologies to real-life time series. Systematically organized, it begins with the foundational essentials, proceeds to the analysis of methodological aspects (Estimation Methods, Asymptotic Theory, Heteroskedastic Models, Transformations, Bayesian Methods, and Prediction), and then extends these techniques to more complex data structures.To facilitate understanding, the book:
Assumes a basic knowledge of calculus and linear algebra and explains the more advanced statistical and mathematical concepts
Features numerous examples that accelerate understanding and illustrate various consequences of the theoretical results
Proves all theoretical results (theorems, lemmas, corollaries, etc.) or refers readers to resources with further demonstration