论文信息 - A note on calculating the autocovariances of the fractionally integrated ARMA models

A note on calculating the autocovariances of the fractionally integrated ARMA models

Abstract The autocovariances of the stationary fractionally integrated ARMA model derived by Sowell ( Journal of Econometrics , 1992, 53, 165–188) are complicated functions of hypergeometric functions. We give an alternative expression for these autocovariances which can be easily and accurately computed by computers.

Ching-Fan Chung

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