ARFURIMA models: simulations of their properties and application

Jibrin Sanusi Alhaji () and Rahman Rosmanjawati Abdul ()
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Jibrin Sanusi Alhaji: Department of Statistics, Kano University of Science and Technology, Wudil. Nigeria .
Rahman Rosmanjawati Abdul: School of Mathematical Sciences, Universiti Sains Malaysia. Malaysia .

Statistics in Transition New Series, 2022, vol. 23, issue 2, 69-87

Abstract: This article defines the Autoregressive Fractional Unit Root Integrated Moving Average (ARFURIMA) model for modelling ILM time series with fractional difference value in the interval of 1

Keywords: interminable long memory; autocorrelation; fractional unit root integrated series; fractional unit root differencing; ARFURIMA model (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:stintr:v:23:y:2022:i:2:p:69-87:n:3

DOI: 10.2478/stattrans-2022-0017

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