Fractional differencing

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ID: 290498
1981
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Abstract
The family of autoregressive integrated moving-average processes, widely used in time series analysis, is generalized by permitting the degree of differencing to take fractional values. The fractional differencing operator is defined as an infinite binomial series expansion in powers of the backward-shift operator. Fractionally differenced processes exhibit long-term persistence and antipersistence; the dependence between observations a long time span apart decays much more slowly with time span than is the case with the more commonly studied time series models. Long-term persistent processes have applications in economics and hydrology; compared to existing models of long-term persistence, the family of models introduced here offers much greater flexibility in the simultaneous modelling of the short-term and long-term behaviour of a time series.
Reference Key
openalex_W4242671632 Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors J. R. M. Hosking
Journal jurnal biometrika dan kependudukan
Year 1981
DOI
10.1093/biomet/68.1.165
URL
https://doi.org/10.1093/biomet/68.1.165
Keywords Keywords not found

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