On continuous-time autoregressive fractionally integrated moving average processes

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dc.creatorTsai, Henghsiu
dc.date2009-02-09
dc.date.accessioned2026-07-07T12:39:27Z
dc.date.available2026-07-07T12:39:27Z
dc.descriptionIn this paper, we consider a continuous-time autoregressive fractionally integrated moving average (CARFIMA) model, which is defined as the stationary solution of a stochastic differential equation driven by a standard fractional Brownian motion. Like the discrete-time ARFIMA model, the CARFIMA model is useful for studying time series with short memory, long memory and antipersistence. We investigate the stationarity of the model and derive its covariance structure. In addition, we derive the spectral density function of a stationary CARFIMA process.
dc.descriptionPublished in at http://dx.doi.org/10.3150/08-BEJ143 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)
dc.identifierhttps://arxiv.org/abs/0902.1403
dc.identifierhttp://arxiv.org/abs/0902.1403
dc.identifierBernoulli 2009, Vol. 15, No. 1, 178-194
dc.identifierdoi:10.3150/08-BEJ143
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/219115
dc.subjectStatistics Theory
dc.titleOn continuous-time autoregressive fractionally integrated moving average processes
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