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A Generalized ARFIMA Model with Smooth Transition Fractional Integration Parameter
Journal of Time Series Econometrics, 2017AbstractThis paper proposes a model of time-varying fractional integration where the long-memory parameter,d$d$, in an ARFIMA model is allowed to depend ont$t$and evolve according to a Smooth Transition Regressive (STR) model advanced by Teräsvirta (1994, 1998) . To estimate the time-varying fractional integration parameter, we suggest a new multi-step
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Estimation and testing of ARFIMA models in the real exchange rate
International Journal of Finance & Economics, 2002AbstractThe Purchasing Power Parity (PPP) hypothesis is one of the most important theoretical relationships in international economics. However, its empirical support remains controversial. We propose an alternative way of modelling the real exchange rate in five industrialized countries in relation to the US dollar, by means of fractionally integrated
GIL-ALANA, Luis A., TORO, Juan
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Forecasting comparisons using a hybrid ARFIMA and LRNN models
Communications in Statistics - Simulation and Computation, 2017In this article, an autoregressive fractionally integrated moving average model (ARFIMA) and a layer recurrent neural network (LRNN) were combined to form a hybrid forecasting model.
Augustine Pwasong, Saratha Sathasivam
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ARFIMA model decomposition for hydrological time series
2004In questo lavoro viene proposta una procedura statistica per la decomposizione di processi ARFIMA(p,d,q) in componenti elementari. Il problema viene ricondotto a quello della decomposizione di un processo ARMA(p+1,q+1) sfruttando il modello ARMA(1,1) come ’proxy’ della componente di lunga memoria.
CORDUAS, MARCELLA, PICCOLO, DOMENICO
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Calculating and analyzing impulse responses for the vector ARFIMA model
Economics Letters, 2001zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Adaptive ARFIMA Models of Inflation
SSRN Electronic Journal, 2011Claudio Morana, Richard Baillie
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Adjusted jackknife empirical likelihood for stationary ARMA and ARFIMA models
, 2020Xiuzhen Zhang +3 more
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Combining ARFIMA models and fuzzy time series for the forecast of long memory time series
Neurocomputing, 2016H. J. Sadaei +4 more
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