FRACTIONAL DIFFERENCING
成果类型：
Article
署名作者：
HOSKING, JRM
刊物名称：
BIOMETRIKA
ISSN/ISSBN：
0006-3444
DOI：
10.1093/biomet/68.1.165
发表日期：
1981
页码：
165176
关键词：
摘要：
The family of autoregressive integrated moving-average processes, widely used in time series analysis, is generalized by permitting the degree of differencing to take fractional values. The fractional differencing operator is defined as an infinite binomial series expansion in powers of the backward-shift operator. Fractionally differenced processes exhibit long-term persistence and antipersistence; the dependence between observations a long time span apart decays much more slowly with time span than is the case with the more commonly studied time series models. Long-term persistent processes have applications in economics and hydrology; compared to existing models of long-term persistence, the family of models introduced here offers much greater flexibility in the simultaneous modeling of the short-term and long-term behavior of a time series.
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