A note on calculating autocovariances of long‐memory processes

Stefano Bertelli and Massimiliano Caporin

Journal of Time Series Analysis, 2002, vol. 23, issue 5, 503-508

Abstract: In this paper, we consider a method (splitting) for calculating the auto‐ covariances of fractional integrated processes (ARFIMA) and generalized integrated processes (GARMA). The splitting method does not require any restriction on the autoregressive roots, and allows fast calculation of the autocovariances of these processes.

Date: 2002
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:23:y:2002:i:5:p:503-508

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