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?
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?