Article ID: | iaor200144 |
Country: | Netherlands |
Volume: | 16 |
Issue: | 1 |
Start Page Number: | 121 |
End Page Number: | 124 |
Publication Date: | Jan 2000 |
Journal: | International Journal of Forecasting |
Authors: | Andersson Michael K. |
Keywords: | ARIMA processes |
This paper examines the predictability memory of fractionally integrated ARMA processes. Very long memory is found for positively fractionally integrated processes with large positive AR parameters. However, negative AR parameters absorb, to a great extent, the memory generated by a positive fractional difference. An MA parameter may also reduce the predictability memory substantially, even if the parameter alone provides hardly any memory.