A note on self-similarity for discrete time series

Dominique Guegan and Zhiping Lu
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Dominique Guegan: Centre d'Economie de la Sorbonne
Zhiping Lu: East China Normal University et Centre d'Economie de la Sorbonne

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

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

Keywords: Covariance stationary; Long memory processes; short memory processes; self-similar; asymptotically second-order self-similar; autocorrelation function (search for similar items in EconPapers)
JEL-codes: C02 C32 C40 C60 (search for similar items in EconPapers)
Pages: 10 pages
Date: 2007-11
New Economics Papers: this item is included in nep-ecm
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https://shs.hal.science/halshs-00187910 (application/pdf)

Related works:
Working Paper: A note on self-similarity for discrete time series (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:mse:cesdoc:b07055

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