New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Jump to bottom

Fractional diff to make series stationary #1

Open

MislavSag opened this issue Aug 26, 2020 · 0 comments

MislavSag commented Aug 26, 2020

I am reading De Prados book on Ml in finance. There is a section on applying fracdiff on fin time series to make it stationary. Here is one implementation in python https://github.com/philipperemy/fractional-differentiation-time-series

I would like to know would I get the same result if I use frac diff witn no ar and ma terms?

Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment