Parameter estimation for fractional autoregressive process with periodic structure

2025/03/26 by Cai, Chunhao, Shang, Yiwu
#FOS: Mathematics #Statistics Theory (math.ST)

paper · doi:10.48550/arxiv.2503.20736

Abstract

This paper introduces a new periodic fractional autoregressive process (PFAR) driven by fractional Gaussian noise (fGn) to model time series of precipitation evapotranspiration. Compared with the similar model in [Water Resources Research, 20 (1984) 1898--1908], the new model incorporates a periodic structure via specialized varying coefficients and captures long memory and rough voltality through fGn for 0

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