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Mixed Models as an Alternative to Farima

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  • Jos'e Igor Morlanes

Abstract

We construct a new process using a fractional Brownian motion and a fractional Ornstein-Uhlenbeck process of the Second Kind as building blocks. We consider the increments of the new process in discrete time and, as a result, we obtain a more parsimonious process with similar autocovariance structure to that of a FARIMA. In practice, variance of the new increment process is a closed-form expression easier to compute than that of FARIMA.

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  • Jos'e Igor Morlanes, 2017. "Mixed Models as an Alternative to Farima," Papers 1712.03044, arXiv.org.
    • Handle: RePEc:arx:papers:1712.03044
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