Journal of Time Series Analysis

Can One Use the Durbin–Levinson Algorithm to Generate Infinite Variance Fractional ARIMA Time Series?

Journal Article

The Durbin–Levinson algorithm is used to generate Gaussian time series with a given covariance structure. This is the most efficient way, for example, to simulate a Gaussian fractional ARIMA (FARIMA) time series, a linear sequence with i.i.d. Gaussian innovations which exhibits long‐range dependence. The paper studies the applicability of the Durbin–Levinson algorithm to the simulation of infinite variance FARIMA sequences including an α‐stable FARIMA.

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