Regression model
ARFIMA：分数阶积分自回归滑动平均模型
ARFIMA 是一种时间序列模型，它使用分数阶差分参数 d 来捕捉长记忆行为，并推广了 ARIMA 的整数阶差分。该模型由 Granger 和 Joyeux (1980) 提出，并由 Hosking (1981) 正式化，用于描述自相关性衰减缓慢而非突然衰减的序列。
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来源
- 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 ↗
- Hosking, J. R. M. (1981). Fractional Differencing. Biometrika, 68(1), 165–176. DOI: 10.1093/biomet/68.1.165 ↗
如何引用本页
ScholarGate. (2026, June 1). Autoregressive Fractionally Integrated Moving Average Model. ScholarGate. https://scholargate.app/zh/econometrics/arfima-model
Which method?
Set this method beside its closest kin and read them side by side — the library lays the books on the table; the choice is yours.
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