A note on self-similarity for discrete time series.

The purpose of this paper is to study the self-similar properties of discrete-time long memory processes. We apply our results to specific processes such as GARMA processes and GIGARCH processes, heteroscedastic models and the processes with switches and jumps.

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Year of publication:	2007-11
Authors:	Guégan, Dominique ; Lu, Zhiping
Institutions:	Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne)
Subject:	Covariance stationary \| Long memory processes \| short memory processes \| self-similar \| asymptotically second-order self-similar \| autocorrelation function

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Extent:	application/pdf
Series:	Documents de travail du Centre d'Economie de la Sorbonne. - ISSN 1955-611X.
Type of publication:	Book / Working Paper
Notes:	10 pages
Classification:	C02 - Mathematical Methods ; C32 - Time-Series Models ; C40 - Econometric and Statistical Methods: Special Topics. General ; C60 - Mathematical Methods and Programming. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005670894