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A Generalized Fractionally Differencing Approach inLong-Memory Modelling

Giraitis, Liudas ; Leipus, Remigijus

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We extend the class of known fractional ARIMA models to the class ofgeneralized ARIMA models which allows the generation of long-memory time serieswith long-range periodical behaviour at a finite number of spectrum frequences.The exact asymptotics of the covariance function and the spectrum at the pointsof peaks and zeroes are given. For obtaining asymptotic expansions, Gegenbauerpolynomials are used. Consistent parameter estimating is discussed using Whittle's estimate.

Item Type: Working paper
Place of Publication: Heidelberg
Date Deposited: 16 Jun 2016 08:05
Date: November 1993
Number of Pages: 21
Faculties / Institutes: The Faculty of Mathematics and Computer Science > Department of Applied Mathematics
Subjects: 510 Mathematics
Schriftenreihe ID: Beiträge zur Statistik > Beiträge
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