Why FARIMA models are brittle

DOI10.1142/S0218348X13500126zbMATH Open1281.60035arXiv1203.6140OpenAlexW2963127779MaRDI QIDQ2865149FDOQ2865149

Authors: D. Veitch, A. Gorst-Rasmussen, A. Gefferth 

Publication date: 28 November 2013

Published in: Fractals (Search for Journal in Brave)

Abstract: The FARIMA models, which have long-range-dependence (LRD), are widely used in many areas. Through deriving a precise characterisation of the spectrum, autocovariance function, and variance time function, we show that this family is very atypical among LRD processes, being extremely close to the fractional Gaussian noise in a precise sense. Furthermore, we show that this closeness property is not robust to additive noise. We argue that the use of FARIMA, and more generally fractionally differenced time series, should be reassessed in some contexts, in particular when convergence rate under rescaling is important and noise is expected.

Full work available at URL: https://arxiv.org/abs/1203.6140

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zbMATH Keywords

long-range dependenceHurst parameterself-similarityfractional Gaussian noiseFARIMAfractionally differenced process

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) General second-order stochastic processes (60G12) Self-similar stochastic processes (60G18)

Cites Work

• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Semiparametric analysis of long-memory time series
• ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
• RATE OPTIMAL SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF THE GAUSSIAN TIME SERIES WITH LONG‐RANGE DEPENDENCE
• An exponential model for the spectrum of a scalar time series
• Long-range Dependence: Revisiting Aggregation with Wavelets
• Fitting long-memory models by generalized linear regression
• An extension of a logarithmic form of Cramér's ruin theorem to some FARIMA and related processes
• The nature of discrete second-order self-similarity

Cited In (4)

• FARIMA with stable innovations model of Great Salt Lake elevation time series
• Detecting long-range dependence for time-varying linear models
• Estimating FARIMA models with uncorrelated but non-independent error terms
• An approximate fractional Gaussian noise model with \(\mathcal{O}(n)\) computational cost

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