FARIMA(p, d, q) process
It can describe the LRD and SRD properties simultaneously.
FARIMA(1, d, 0) process:
- d: the degree of differencing indicates the presence of LRD
- ?1: autoregressive parameter measures the SRD structure
In case of 0 < d < 0.5, it exhibits self-similarity, with Hurst parameter H = d + 0.5.