📝 SummarXiv

Abstract

This paper introduces a new periodic fractional autoregressive process (PFAR) driven by fractional Gaussian noise (fGn) to model time series of precipitation evapotranspiration. Compared with the similar model in [\emph{Water Resources Research}, \textbf{20} (1984) 1898--1908], the new model incorporates a periodic structure via specialized varying coefficients and captures long memory and rough voltality through fGn for $0<H<1$, rather than via fractional differencing. In this work, Generalized Least Squares Estimation (GLSE) and the GPH method are employed to construct an initial estimator for the joint estimation of model parameters. A One-Step procedure is then used to obtain a more asymptotically efficient estimator. The paper proves that both estimators are consistent and asymptotically normal, and their performance is demonstrated via Monte Carlo simulations with finite-size samples. Simulation studies suggest that, while both estimation methods can accurately estimate the model parameters, the One-Step estimator outperforms the initial estimator.