IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to save this article

Extended Fractional Gaussian Noise and Simple ARFIMA Approximations

Listed author(s):
  • Man Kasing

    (Western Illinois University)

Registered author(s):

    Extended fractional Gaussian noise (eFGN) is the limiting structure of long memory time series aggregates. We propose a flexible class of low-order ARFIMA (0, d, q) models that closely approximates eFGN. Such ARFIMA approximation and a metric to measure precision can be easily obtained from the eigenvector and eigenvalue of an aggregation matrix of dimension q+1, constructed by utilizing the invariant property. A comparison to Man and Tiao's (2006) ARFIMA (0, d, dI) approximation that uses fixed MA order is also made. In practice, our result suggests that when aggregated long enough, many long memory time series aggregates will tend to follow a low-order ARFIMA model with pretty stable MA structure determined by d. This makes simple ARFIMA models appealing for modeling long memory time series aggregates.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL: https://www.degruyter.com/view/j/jtse.2010.2.1/jtse.2010.2.1.1063/jtse.2010.2.1.1063.xml?format=INT
    Download Restriction: For access to full text, subscription to the journal or payment for the individual article is required.

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Article provided by De Gruyter in its journal Journal of Time Series Econometrics.

    Volume (Year): 2 (2010)
    Issue (Month): 1 (September)
    Pages: 1-26

    as
    in new window

    Handle: RePEc:bpj:jtsmet:v:2:y:2010:i:1:n:7
    Contact details of provider: Web page: https://www.degruyter.com

    Order Information: Web: https://www.degruyter.com/view/j/jtse

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

    as
    in new window


    1. Man, K.S. & Tiao, G.C., 2006. "Aggregation effect and forecasting temporal aggregates of long memory processes," International Journal of Forecasting, Elsevier, vol. 22(2), pages 267-281.
    2. Man, K. S., 2003. "Long memory time series and short term forecasts," International Journal of Forecasting, Elsevier, vol. 19(3), pages 477-491.
    3. Souza, Leonardo R. & Smith, Jeremy, 2004. "Effects of temporal aggregation on estimates and forecasts of fractionally integrated processes: a Monte-Carlo study," International Journal of Forecasting, Elsevier, vol. 20(3), pages 487-502.
    4. Ohanissian, Arek & Russell, Jeffrey R. & Tsay, Ruey S., 2008. "True or Spurious Long Memory? A New Test," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 161-175, April.
    5. Chambers, Marcus J, 1998. "Long Memory and Aggregation in Macroeconomic Time Series," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 1053-1072, November.
    6. Henghsiu Tsai & K. S. Chan, 2005. "Temporal Aggregation of Stationary and Non-stationary Continuous-Time Processes," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 32(4), pages 583-597.
    7. William Wei & Daniel Stram, 1988. "An eigenvalue approach to the limiting behavior of time series aggregates," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 40(1), pages 101-110, March.
    8. Henghsiu Tsai & K. S. Chan, 2005. "Temporal Aggregation of Stationary And Nonstationary Discrete-Time Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(4), pages 613-624, July.
    Full references (including those not matched with items on IDEAS)

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:bpj:jtsmet:v:2:y:2010:i:1:n:7. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Peter Golla)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.