On the invertibility in periodic ARFIMA models
Amine Amimour, Karima Belaide
TL;DR
This paper characterizes the invertibility and causality conditions of periodic ARFIMA models, providing new theoretical insights and a novel infinite autoregressive representation, supported by simulation studies.
Contribution
It introduces new invertibility and causality conditions for PARFIMA models and derives a novel infinite autoregressive representation.
Findings
Conditions for invertibility and causality in multivariate PARFIMA models
A new infinite autoregressive representation for PARFIMA models
Simulation results validating the theoretical findings
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.
Peer Reviews
No public reviews on file for this paper yet. If you reviewed it on a platform where reviews are public (OpenReview, ICLR, NeurIPS, ICML), you can paste yours below so the community can read it here.
Videos
No videos yet. Explain this paper in a talk, walkthrough, or lecture? Add one.
Taxonomy
TopicsFinancial Risk and Volatility Modeling · Statistical Distribution Estimation and Applications · Genetics and Plant Breeding