Seasonal fractional ARIMA with stable innovations

Abdou Ka Diongue, Aliou Diop and Mor Ndongo

Statistics & Probability Letters, 2008, vol. 78, issue 12, 1404-1411

Abstract: We develop the theory of seasonally fractionally differenced ARIMA time series with stable infinite variance innovations establishing conditions for existence and invertibility. This is a finite parameter model which exhibits long range dependence, seasonality and high variability. We perform some simulations to illustrate the behavior of the model.

Date: 2008
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