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A note on self-similarity for discrete time series

Author

Listed:
  • Dominique Guegan

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

  • Zhiping Lu

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, ECNU - East China Normal University [Shangaï])

Abstract

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.

Suggested Citation

  • Dominique Guegan & Zhiping Lu, 2007. "A note on self-similarity for discrete time series," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00187910, HAL.
    • Handle: RePEc:hal:cesptp:halshs-00187910
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00187910
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    Keywords

    Covariance stationary; Long memory processes; short memory processes; self-similar; asymptotically second-order self-similar; autocorrelation function; Processus longue mémoire; self similarité; hétéroscédasticité;
    All these keywords.

    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; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
    • C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General

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