Seasonal fractional ARIMA with stable innovations
AbstractWe 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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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 78 (2008)
Issue (Month): 12 (September)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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