On continuous-time autoregressive fractionally integrated moving average processes

DOI10.3150/08-BEJ143MaRDI QIDQ605852zbMATH OpenFDO

Authors Henghsiu Tsai

Publication date 15 November 2010

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0902.1403

zbMATH Keywords

autocovariancespectral densityfractional Brownian motionlong memoryantipersistence

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Abstract: In 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.

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• longmemo

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