| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1155183 | Statistics & Probability Letters | 2008 | 8 Pages |
Abstract
We develop the theory of seasonally fractionally differenced ARIMA time series with stable infinite variance innovations establishing conditions for existence and invertibility. This is a finite parameter model which exhibits long range dependence, seasonality and high variability. We perform some simulations to illustrate the behavior of the model.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Abdou Kâ Diongue, Aliou Diop, Mor Ndongo,