A permanent-transitory decomposition for
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Miguel A. AriΓ±o; Francesc Marmol
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Article
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2004
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Elsevier Science
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English
β 291 KB
The purpose of this paper is to present a decomposition into a trend or permanent component and a cycle or transitory component of a time series that follows a nonstationary (d ΒΏ 1 2 ) autoregressive fractionally integrated moving average ARFIMA(p; d; q) model. The decomposition depends only on pas