Parameter estimation for fractional autoregressive process with seasonal structure

• Published in: Statistical theory and related fields pp. 1 - 30
• Main Authors: Cai, Chunhao, Shang, Yiwu
• Format: Journal Article
• Language: English
• Published: Taylor & Francis Group 05.08.2025
• Subjects: fractional Gaussian noise; one-step procedure; Seasonal autoregressive process

This paper introduces a new kind of seasonal fractional autoregressive process (SFAR) driven by fractional Gaussian noise (fGn). The new model includes a standard seasonal AR model and fGn. The estimation of the parameters of this new model has to solve two problems: nonstationarity from the seasona...