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A note on self-similarity for discrete time series Author info | Abstract | Publisher info | Download info | Related research | Statistics Dominique Guégan () (Centre d'Economie de la Sorbonne )
Zhiping Lu () (East China Normal University et Centre d'Economie de la Sorbonne )
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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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Paper provided by Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne in its series Documents de travail du Centre d'Economie de la Sorbonne with number
b07055.
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Length: 10 pages
Date of creation: Nov 2007Date of revision:
Handle: RePEc:mse:cesdoc:b07055Contact details of provider: Web page: http://ces.univ-paris1.fr/ More information through EDIRC
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Keywords: Covariance stationary ; Long memory processes ; short memory processes ; self-similar ; asymptotically second-order self-similar ; autocorrelation function. ; Other versions of this item:
Find related papers by JEL classification: C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General C60 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - General
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