A fractionally integrated model for some Indian monthly rainfall data

L A Gil-Alana

Abstract


We examine some Indian monthly meteorological data by means of fractional integration. The results show that long memory is present in the monthly structure of various rainfall data. Moreover, they are homogeneous across the regions, with the values of d ranging between 0.25 and 0.75. Attempting to summarize the conclusions for the individual months, the degree of dependence between the observations during MaySeptember seems to be higher than for the remaining months.

Keywords


Fractional integration; long memory

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