Revisiting the Autocorrelation of Long Memory Time Series Models

Abstract

In this article we first revisit some earlier work on fractionally differenced white noise and correct some issues with previously published formulae. We then look at vector processes and derive formula for the Autocorrelation function, which is extended in this work to a larger range of parameter values than considered elsewhere, and compare this with previously published work.

Keywords

• fractionally differenced white noise
• autocorrelation function