Autoregressive fractionally integrated moving average
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In statistics, autoregressive fractionally integrated moving average models are time series models that generalize ARIMA (autoregressive integrated moving average) models by allowing non-integer values of the differencing parameter and are useful in modeling time series with long memory.
[edit] References
- C. W. J. Granger and R. Joyeux. "An introduction to long-memory time series and fractional differencing", Journal of Time Series Analysis, 1980.
- J. R. M. Hosking. "Fractional differencing", Biometrika 68(1):165-176, 1981.
- P. M. Robinson. "Time Series With Long Memory", Oxford University Press 2003.
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