Seasonal fractional ARIMA with stable innovations
We 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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Volume (Year): 78 (2008)
Issue (Month): 12 (September)
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- Reisen, Valderio Anselmo & Rodrigues, Alexandre L. & Palma, Wilfredo, 2006. "Estimation of seasonal fractionally integrated processes," Computational Statistics & Data Analysis, Elsevier, vol. 50(2), pages 568-582, January.
- Kokoszka, Piotr S. & Taqqu, Murad S., 1995. "Fractional ARIMA with stable innovations," Stochastic Processes and their Applications, Elsevier, vol. 60(1), pages 19-47, November.