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PARAMETER ESTIMATION AND SPECTRUM OF FRACTIONAL ARIMA PROCESS
PARAMETER ESTIMATION AND SPECTRUM OF FRACTIONAL ARIMA PROCESS
Journal of applied mathematics & informatics. 2015. Jan, 33(1_2): 203-210
  • Received : September 15, 2014
  • Published : January 30, 2015
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Kim Joo-Mok
Kim Yun-Kyong

Abstract
We consider fractional Brownian motion and FARIMA process with Gaussian innovations and show that the suitably scaled distributions of the FARIMA processes converge to fractional Brownian motion in the sense of finite dimensional distributions. We figure out ACF function and estimate the self-similarity parameter H of FARIMA(0, d, 0) by using R/S method. Finally, we display power spectrum density of FARIMA process.
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