Seasonal fractional ARIMA with stable innovations

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.

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Year of publication:	2008
Authors:	Diongue, Abdou Kâ ; Diop, Aliou ; Ndongo, Mor
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 78.2008, 12, p. 1404-1411
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005319570