On the Exact Discretization of a Continuous Time AR(1) Model driven by either Long Memory or Antipersistent Innovations: A Fractional Algebra Approach

Theodore Simos ()

Journal of Time Series Econometrics, 2012, vol. 4, issue 2, 26

Abstract: Exact discretization formulae are established for a first-order stochastic differential equation driven by a fractional noise of either long memory or antipersistent type. We assume that the underlying process is sampled at non-unit equispaced observational intervals. Using fractional algebra techniques the exact discretization formulae are derived in terms of confluent hypergeometric and incomplete gamma functions which admit infinite order series expansions.

Keywords: stochastic differential equations; fractional noise; exact discretization formulae; special functions (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1515/1941-1928.1145

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