On the invertibility in periodic ARFIMA models
Statistics Theory
2020-08-10 v1 Statistics Theory
Abstract
The present paper, characterizes the invertibility and causality conditions of a periodic ARFIMA (PARFIMA) models. We first, discuss the conditions in the multivariate case, by considering the corresponding p-variate stationary ARFIMA models. Second, we construct the conditions using the univariate case and we deduce a new infinite autoregressive representation for the PARFIMA model, the results are investigated through a simulation study.
Cite
@article{arxiv.2008.02978,
title = {On the invertibility in periodic ARFIMA models},
author = {Amine Amimour and Karima Belaide},
journal= {arXiv preprint arXiv:2008.02978},
year = {2020}
}