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

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Please use this identifier to cite or link to this item:http://doi.org/10.14943/83650

Title: Partial autocorrelation functions of the fractional ARIMA processes with negative degree of differencing
Authors: Inoue, A. Browse this author
Kasahara, Y. Browse this author
Keywords: partial autocorrelation function
fractional ARIMA process
stationary process
long memory
prediction error
Issue Date: 1-Dec-2000
Journal Title: Hokkaido University Preprint Series in Mathematics
Volume: 504
Start Page: 1
End Page: 14
Abstract: Let {Xn : ri E Z} be a fractional ARIMA{p, d, q) process with partial autocorrelation functiono:(·). In this paper, we prove that if d E ( 􀀙1/2, 0) then jo:(n)I rv jdj/n as n ---+ oo. This extends the previous result for the case O < d < 1/2.
Type: bulletin (article)
URI: http://hdl.handle.net/2115/69254
Appears in Collections:理学院・理学研究院 (Graduate School of Science / Faculty of Science) > Hokkaido University Preprint Series in Mathematics

Submitter: 数学紀要登録作業用

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