A Fractional Integration Model and Testing Procedure with Roots Within the Unit Circle

In this paper we propose a statistical model that combines both autoregressions and fractional differentiation in a unified treatment. However, instead of imposing that the roots are strictly on the unit circle, we also allow them to be within the unit circle. This permits a higher degree of flexibility in the specification of the model, with rates of dependence combining exponential with hyperbolic decays. Monte Carlo experiments and empirical applications to climatological and financial data show that the proposed approach performs well.

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Publication Details

Journal
Mathematics
Published
2025-09-15
DOI
https://doi.org/10.3390/math13182978
Primary Topic
Fractional Differential Equations Solutions
Type
article
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article

A Fractional Integration Model and Testing Procedure with Roots Within the Unit Circle

Luis A. Gil-Alaña, Guglielmo Maria Caporale
Mathematics
Fractional Differential Equations Solutions
article

A Fractional Integration Model and Testing Procedure with Roots Within the Unit Circle

Luis A. Gil-Alaña, Guglielmo Maria Caporale
article en

Abstract

In this paper we propose a statistical model that combines both autoregressions and fractional differentiation in a unified treatment. However, instead of imposing that the roots are strictly on the unit circle, we also allow them to be within the unit circle. This permits a higher degree of flexibility in the specification of the model, with rates of dependence combining exponential with hyperbolic decays. Monte Carlo experiments and empirical applications to climatological and financial data show that the proposed approach performs well.

MathematicsVol. 13(18)
Universidad Francisco de Vitoria (ES), Brunel University of London (GB), Universidad de Navarra (ES)
Openalex Percentile: Top 72%
Fractional Differential Equations Solutions
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