Regression model

ARFIMA: Fractionally Integrated ARMA Model

ARFIMA is a time series model that captures long-memory behaviour using a fractional differencing parameter d, generalising the integer differencing of ARIMA. It was introduced by Granger and Joyeux (1980) and formalised by Hosking (1981) to describe series whose autocorrelations decay slowly rather than abruptly.

Apply with EconMindSoonVideoSoon

Read the full method

Members only

Sign in with a free account to read this section.

Sign in

Sources

  1. Granger, C. W. J. & Joyeux, R. (1980). An Introduction to Long-Memory Time Series Models and Fractional Differencing. Journal of Time Series Analysis, 1(1), 15–29. DOI: 10.1111/j.1467-9892.1980.tb00297.x
  2. Hosking, J. R. M. (1981). Fractional Differencing. Biometrika, 68(1), 165–176. DOI: 10.1093/biomet/68.1.165

Related methods

Referenced by

ScholarGateARFIMA Model (Autoregressive Fractionally Integrated Moving Average Model). Retrieved 2026-06-04 from https://scholargate.app/en/econometrics/arfima-model