ConceptFractional ARIMA / 分数阶差分自回归滑动平均模型
FARIMA
A fractal extension of the ARIMA model that allows fractional differencing and is able to characterize long memory in time series. It is commonly applied to data with long-range dependence.
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Oct 14
The autocovariance of long-memory linear processes (such as FARIMA) decays slowly as a power law |k|^{2β−1}, with memory parameter β∈(1/2,1); in this case the sample mean converges at rate n^{β−1/2}, and the limiting process is the integral of fractional Brownian motion with Hurst index H=β+1/2>1/2.
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