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Mixed Models as an Alternative to Farima

Jos\'e Igor Morlanes

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Abstract: We construct a new process using a fractional Brownian motion and a fractional Ornstein-Uhlenbeck process of the Second Kind as building blocks. We consider the increments of the new process in discrete time and, as a result, we obtain a more parsimonious process with similar autocovariance structure to that of a FARIMA. In practice, variance of the new increment process is a closed-form expression easier to compute than that of FARIMA.

New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2017-12
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Handle: RePEc:arx:papers:1712.03044