This paper considers the maximum likelihood estimation (MLE) of a class of stationary and invertible vector autoregressive fractionally integrated moving-average (VARFIMA) processes considered in (26) of Luceño [1] or Model A of Lobato [2] where each component yi,t is a fractionally integrated process of order di, i = 1, . . . , r. Under the conditions outlined in Assumption 1 of this paper, th...

Long-term heart rate variability (HRV) series can be described by time-variant autoregressive modelling. HRV recordings show dependence between distant observations that is not negligible, suggesting the existence of long-range correlations. In this work, selective adaptive segmentation combined with fractionally integrated autoregressive moving-average models is used to capture long memory in ...

This paper reviews the theory and applications related to fractionally integrated generalized autoregressive conditional heteroscedastic (FIGARCH) models, mainly for describing the observed persistence in the volatility of a time series. The long memory nature of FIGARCHmodels allows to be a better candidate than other conditional heteroscedastic models for modeling volatility in exchange rates...

IHPBI is an early indicator in consumer price analysis. When the increases, it results inflation. inflation occurs, Indonesia's economic stability begins to be disturbed, so order suppress inflation, government raises interest rates and when circulation of money decrease, prices goods services will return normal. This research see next 3 years through ARFIMA method multi-input intervention with...