Beta Distribution of Long Memory Sequences

Abstract

Three long memory models, ARFIMA, Timmer and Konig 1995, and a circular convolution model based on Wold's representation theorem are examined. Each model is shown to produce sequences with nonstationary generalized beta marginal distributions. It is demonstrated that the variance divided by the squared range of the sequence is stationary, and is a function of the shape parameter of the resulting symmetric beta distribution. Using the Wold model, a simple matrix distribution transformation is given that maps the normal components of the long memory model onto the beta distribution.