Bensalma, Ahmed (2018): Two Distinct Seasonally Fractionally Differenced Periodic Processes.

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Abstract
This article is devoted to study the e¤ects of the Speriodical fractional di¤erencing filter (1L^S)^Dt . To put this e¤ect in evidence, we have derived the periodic autocovariance functions of two distinct univariate seasonally fractionally di¤erenced periodic models. A multivariate representation of periodically correlated process is exploited to provide the exact and approximated expression autocovariance of each models. The distinction between the models is clearly obvious through the expression of periodic autocovariance function. Besides producing di¤erent autocovariance functions, the two models di¤er in their implications. In the first model, the seasons of the multivariate series are separately fractionally integrated. In the second model, however, the seasons for the univariate series are fractionally cointegrated. On the simulated sample, for each models, with the same parameters, the empirical periodic autocovariance are calculated and graphically represented for illustrating the results and support the comparison between the two models.
Item Type:  MPRA Paper 

Original Title:  Two Distinct Seasonally Fractionally Differenced Periodic Processes 
English Title:  Two Distinct Seasonally Fractionally Differenced Periodic Processes 
Language:  English 
Keywords:  Periodically correlated process, Fraction integration, seasonal fractional integration, Periodic fractional integration 
Subjects:  C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C15  Statistical Simulation Methods: General C  Mathematical and Quantitative Methods > C2  Single Equation Models ; Single Variables C  Mathematical and Quantitative Methods > C2  Single Equation Models ; Single Variables > C22  TimeSeries Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes C  Mathematical and Quantitative Methods > C5  Econometric Modeling C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C51  Model Construction and Estimation C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C52  Model Evaluation, Validation, and Selection C  Mathematical and Quantitative Methods > C6  Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling 
Item ID:  84969 
Depositing User:  Mr ahmed Bensalma 
Date Deposited:  08 Mar 2018 03:54 
Last Modified:  02 Oct 2019 16:42 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/84969 