On continuous-time autoregressive fractionally integrated moving average processes
Statistics Theory
2009-02-10 v1 Statistics Theory
Abstract
In this paper, we consider a continuous-time autoregressive fractionally integrated moving average (CARFIMA) model, which is defined as the stationary solution of a stochastic differential equation driven by a standard fractional Brownian motion. Like the discrete-time ARFIMA model, the CARFIMA model is useful for studying time series with short memory, long memory and antipersistence. We investigate the stationarity of the model and derive its covariance structure. In addition, we derive the spectral density function of a stationary CARFIMA process.
Keywords
Cite
@article{arxiv.0902.1403,
title = {On continuous-time autoregressive fractionally integrated moving average processes},
author = {Henghsiu Tsai},
journal= {arXiv preprint arXiv:0902.1403},
year = {2009}
}
Comments
Published in at http://dx.doi.org/10.3150/08-BEJ143 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)