: the locally stationary k-factor Gegenbauer process. We describe a procedure of estimating consistently the time …

: the locally stationary k-factor Gegenbauer process. We describe a procedure of estimating consistently the time …

to simulate 1-factor Gegenbauer process, we introduce an original algorithm, inspired by the one proposed by Coifman and …

have poles at the same location. The spurious regression may also be present between a stationary Gegenbauer process and a … stationary harmonic process, or between a stationary Gegenbauer process and a deterministic trigonometric series, as long as the …

mixed operator (1-rL)d in the ARFIMA, LARCH and ARCH time series models. We also investigate the Gegenbauer process with a …

thus are considered as long memory processes. We can cite the FARIMA and the Gegenbauer process. There exists another way … characterize long memory behavior of the Gegenbauer process in this way. This is due to the shape of the spectral density of this … characterize long memory behavior of the Gegenbauer process. We then introduce a new statistic called the generalized partial sum …