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

Akihiko Inoue and Yukio Kasahara

Journal of Multivariate Analysis, 2004, vol. 89, issue 1, 135-147

Abstract: Let {Xn : n[set membership, variant]Z} be a fractional ARIMA(p,d,q) process with partial autocorrelation function [alpha](·). In this paper, we prove that if d[set membership, variant](-1/2,0) then [alpha](n)~d/n as n-->[infinity]. This extends the previous result for the case 0

Keywords: Partial; autocorrelation; function; Fractional; ARIMA; process; Stationary; process; Long; memory; Prediction; error (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (3)

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