Partial autocorrelation functions of the fractional ARIMA processes with negative degree of differencing

Journal of Multivariate Analysis

Volumn 89, Issue 1, 2004, Pages 135-147

  Inoue, Akihiko ^a   Kasahara, Yukio ^a,b  

^a HOKKAIDO UNIVERSITY   (Japan)

^b UNIVERSITY OF TOKYO   (Japan)

Author keywords

Fractional ARIMA process; Long memory; Partial autocorrelation function; Prediction error; Stationary process

Indexed keywords

EID: 1442306698     PISSN: 0047259X     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0047-259X(02)00027-1     Document Type: Article

References (12)

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