A long memory time series with a periodic degree of fractional differencing

Amine Amimour; Karima Belaide

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arXiv · 2008.01939

A long memory time series with a periodic degree of fractional differencing

Amine Amimour·Karima Belaide

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Abstract

This article develops a periodic version of a time varying parameter fractional process in the stationary region. It is a partial extension of Hosking (1981)'s article which dealt with the case where the coefficients are invariant in time. We will describe the probabilistic theories of this periodic model. The results are followed by a graphical representation of the autocovariances functions.

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Amine Amimour, Karima Belaide. 2020-08-05. A long memory time series with a periodic degree of fractional differencing. https://arxiv.org/abs/2008.01939

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