Xiu, Jin; Jin, Yao - In: Physica A: Statistical Mechanics and its Applications 377 (2007) 1, pp. 138-154
model for it, and detailed the procedure of fractional differencing. Furthermore, we compared the ARFIMA model built by this … information of time series would be lost. The forecast formula of ARFIMA model was corrected according to the method of fractional … differencing, and was employed in the empirical study. It was illustrated that the forecast performance of ARFIMA model was not as …