Rea, William; Reale, Marco; Brown, Jennifer; Oxley, Les - In: Mathematics and Computers in Simulation (MATCOM) 81 (2011) 7, pp. 1441-1453
In the literature many papers state that long-memory time series models such as Fractional Gaussian Noises (FGN) or Fractionally Integrated series (FI(d)) are empirically indistinguishable from models with a non-stationary mean, but which are mean reverting. We present an analysis of the...