A closed formula for the durbin-levinson's algorithm in seasonal fractionally integrated processes
نویسندگان
چکیده
منابع مشابه
A closed formula for the durbin-levinson's algorithm in seasonal fractionally integrated processes
We consider the fractionally integrated ARFIMA Processes with seasonality s, denoted by SARFIMA(0, D, 0)s. This work presents a closed formula for the Durbin-Levinson’s algorithm relating the partial autocorrelation and the autocorrelation functions of these processes. In order to obtain the closed formula we show a hypergeometric identity, namely
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ژورنال
عنوان ژورنال: Mathematical and Computer Modelling
سال: 2005
ISSN: 0895-7177
DOI: 10.1016/j.mcm.2005.07.002