András Gefferth
Current Organizations / Institutes
The organizations/institutes from the scholar's latest article
Research Subjects
András Gefferth has a total of 2 co-authors. Here are the top co-authors by number of shared publications:
- Anders Gorst-Rasmussen
Biostatistics Centre of Expertise Novo Nordisk A/S, Denmark
1 shared publication - Darryl Veitch
The University of Melbourne
1 shared publication
Latest Publications
- Open Access
Why FARIMA Models are Brittle
The FARIMA models, which have long-range-dependence (LRD), are widely used in many areas. Through deriving a precise characterisation of the spectrum, autocovariance function, and variance time function, we show that this family is very atypical among LRD processes, being extremely close to the fractional Gaussian noise in a precise sense. Furthermore, we show that this closeness property is not robust to additive noise. We argue that the use of FARIMA, and more generally fractionally differenced time series, should be reassessed in some contexts, in particular when convergence rate under rescaling is important and noise is expected.
Open AccessWhy FARIMA Models are Brittle
The FARIMA models, which have long-range-dependence (LRD), are widely used in many areas. Through deriving a precise characterisation of the spectrum, autocovariance function, and variance time function, we show that this family is very atypical among LRD processes, being extremely close to the fractional Gaussian noise in a precise sense. Furthermore, we show that this closeness property is not robust to additive noise. We argue that the use of FARIMA, and more generally fractionally differenced time series, should be reassessed in some contexts, in particular when convergence rate under rescaling is important and noise is expected.