Partial autocorrelation functions of the fractional ARIMA processes with negative degree of differencing |
| |
Authors: | Akihiko Inoue |
| |
Affiliation: | Hokkaido University, Sapporo, Japan |
| |
Abstract: | Let 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. |
| |
Keywords: | primary 62M10 60G10 |
本文献已被 ScienceDirect 等数据库收录! |
|