AR representation of fractional integration
\[(1-L)^{d} for |d|<0.5 or |d|<1 (?)\]
- Parameters
- d
float
fractional power
- n
int
number of terms to calculate, including lag zero
- Returns
- ar
array
coefficients of lag polynomial
- Notes:
first
coefficient
is
1, negative
signs
except
for
first
term,
ar
(L
)*x_t