A Fractional Integration Model and Testing Procedure with Roots Within the Unit Circle

In this paper we propose a statistical model that combines both autoregressions and fractional differentiation in a unified treatment. However, instead of imposing that the roots are strictly on the unit circle, we also allow them to be within the unit circle. This permits a higher degree of flexibi...

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Bibliographic Details
Published in:Mathematics (Basel) 2025-09, Vol.13 (18), p.2978
Main Authors: Caporale, Guglielmo Maria, Gil-Alana, Luis Alberiko
Format: Article
Language:English
Subjects:
Analysis
Circle
fractional integration
Mathematical models
Random variables
Roots
Roots, Numerical
Statistical models
Testing
testing procedure
Time series
unit roots
Citations: Items that this one cites
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