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On the invertibility in periodic ARFIMA models

08/07/2020

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by Amine Amimour, et al.

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The present paper, characterizes the invertibility and causality conditions of a periodic ARFIMA (PARFIMA) models. We first, discuss the conditions in the multivariate case, by considering the corresponding p-variate stationary ARFIMA models. Second, we construct the conditions using the univariate case and we deduce a new infinite autoregressive representation for the PARFIMA model, the results are investigated through a simulation study.

Amine Amimour
3 publications
Karima Belaide
3 publications

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