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

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<d<1/2.
Year of publication:
2004
Authors: Inoue, Akihiko ; Kasahara, Yukio
Published in:
Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 89.2004, 1, p. 135-147
Publisher: Elsevier
Keywords: Partial autocorrelation function Fractional ARIMA process Stationary process Long memory Prediction error
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10005093748
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