On the invertibility in periodic ARFIMA models

Amine Amimour; Karima Belaide

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arXiv · 2008.02978

On the invertibility in periodic ARFIMA models

Amine Amimour·Karima Belaide

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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.

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Amine Amimour, Karima Belaide. 2020-08-07. On the invertibility in periodic ARFIMA models. https://arxiv.org/abs/2008.02978

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