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

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Title: Partial autocorrelation functions of the fractional ARIMA processes with negative degree of differencing
Authors: Inoue, Akihiko Browse this author
Kasahara, Yukio Browse this author
Keywords: Partial autocorrelation function
Fractional ARIMA process
Stationary process
Long memory
Prediction error
Issue Date: Apr-2004
Publisher: Elsevier
Journal Title: Journal of Multivariate Analysis
Volume: 89
Issue: 1
Start Page: 135
End Page: 147
Publisher DOI: 10.1016/S0047-259X(02)00027-1
Abstract: Let {Xn : ∈Z} be a fractional ARIMA(p,d,q) process with partial autocorrelation function α(·). In this paper, we prove that if d∈(−1/2,0) then |α(n)|~|d|/n as n→∞. This extends the previous result for the case 0<d<1/2.
Relation: http://www.sciencedirect.com/science/journal/0047259X
Type: article (author version)
URI: http://hdl.handle.net/2115/18898
Appears in Collections:理学院・理学研究院 (Graduate School of Science / Faculty of Science) > 雑誌発表論文等 (Peer-reviewed Journal Articles, etc)

Submitter: 井上 昭彦

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