Mixed Models as an Alternative to Farima
Mathematical Finance
2017-12-11 v1
Abstract
We construct a new process using a fractional Brownian motion and a fractional Ornstein-Uhlenbeck process of the Second Kind as building blocks. We consider the increments of the new process in discrete time and, as a result, we obtain a more parsimonious process with similar autocovariance structure to that of a FARIMA. In practice, variance of the new increment process is a closed-form expression easier to compute than that of FARIMA.
Keywords
Cite
@article{arxiv.1712.03044,
title = {Mixed Models as an Alternative to Farima},
author = {José Igor Morlanes},
journal= {arXiv preprint arXiv:1712.03044},
year = {2017}
}