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A note on self-similarity for discrete time series

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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 Guégan & Zhiping Lu, 2007. "A note on self-similarity for discrete time series," Documents de travail du Centre d'Economie de la Sorbonne b07055, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    • Handle: RePEc:mse:cesdoc:b07055
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    File URL: ftp://mse.univ-paris1.fr/pub/mse/CES2007/B07055.pdf
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    Keywords

    Covariance stationary; Long memory processes; short memory processes; self-similar; asymptotically second-order self-similar; autocorrelation function;
    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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