Autoregressive Fractionally Integrated Moving Average - General Form: ARFIMA(p,d,q)

General Form: ARFIMA(p,d,q)

An ARFIMA model shares the same form of representation as the ARIMA(p,d,q) process, specifically:

\left( 1 - \sum_{i=1}^p \phi_i B^i \right) \left( 1-B \right)^d X_t = \left( 1 + \sum_{i=1}^q \theta_i B^i \right) \varepsilon_t \, .

In contrast to the ordinary ARIMA process, the "difference parameter", d, is allowed to take non-integer values.

Read more about this topic:  Autoregressive Fractionally Integrated Moving Average

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