Partial autocorrelation functions of the fractional ARIMA processes with negative degree of differencing

JOURNAL OF MULTIVARIATE ANALYSIS

卷:89

Article

Inoue, A ; Kasahara, Y

关键词: partial autocorrelation function;    fractional ARIMA process;    stationary process;    long memory;    prediction error;   

DOI  :  10.1016/S0047-259X(02)00027-1

来源: Elsevier

【 摘 要 】

Let {X-n : n epsilon Z} be a fractional ARIMA(p,d,q) process with partial autocorrelation function alpha((.)). In this paper, we prove that if d epsilon (-1/2,0) then \alpha(n)\similar to\d\/n as n-->infinity. This extends the previous result for the case 0 < d < 1/2. (C) 2003 Elsevier Inc. All rights reserved.

【 授权许可】

Free