Questions tagged «arfima»

1
了解分数微分公式
我有一个时间序列,我想它建模为一个分整(又名FARIMA)过程。如果y t是(分数)阶d的积分,我想对其进行分数差分以使其固定。ÿŤÿŤy_tÿŤÿŤy_tddd 问题:以下定义分数微分的公式正确吗? ΔdÿŤ:= yŤ- dÿt − 1+ d(d− 1 )2 !ÿt − 2- d(d− 1 )(d− 2 )3 !ÿt − 3+ 。。。+ (− 1 )k + 1d(d− 1 )⋅ 。。。⋅ (d− k )ķ !ÿ吨- ķ+ 。。。ΔdÿŤ:=ÿŤ-dÿŤ-1个+d(d-1个)2!ÿŤ-2-d(d-1个)(d-2)3!ÿŤ-3+。。。+(-1个)ķ+1个d(d-1个)⋅。。。⋅(d-ķ)ķ!ÿŤ-ķ+。。。\Delta^d y_t := y_t - d y_{t-1} + \frac{d(d-1)}{2!} y_{t-2} - \frac{d(d-1)(d-2)}{3!} y_{t-3} + …
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