Autoregressive tempered fractionally integrated moving average with stable innovations modifies the power-law kernel of the fractionally integrated time series model by adding an exponential tempering factor. The tempered time series is a stationary model that can exhibits semi-long-range dependence. This paper develops the basic theory of the tempered time series model, including dependence structure and parameter estimation.
翻译:自动递减缓冲的微小集成移动平均值与稳定的创新通过添加一个指数性缓冲系数来改变分数集成时间序列模型的电法内核。 缓冲时间序列是一个固定模型,可以显示半长距离依赖性。 本文发展了减速时间序列模型的基本理论, 包括依赖性结构和参数估计。