Robinson, Peter M. - London School of Economics (LSE) - 2007
Moving from univariate to bivariate jointly dependent long memory time series introduces a phase parameter (γ), at the … frequency of principal interest, zero; for short memory series γ = 0 automatically. The latter case has also been stressed under … long memory, along with the "fractional differencing" case ( ) / 2; 2 1 γ = δ − δ π where 1 2 δ , δ are the memory …