LONG‐RANGE DEPENDENCE AND MIXING FOR DISCRETE TIME FRACTIONAL PROCESSES

M. C. Viano, Cl. Deniau and G. Oppenheim

Journal of Time Series Analysis, 1995, vol. 16, issue 3, 323-338

Abstract: Abstract. A large class of discrete time stationary processes, an extension of the well‐known fractionally integrated autoregressive moving‐average models, is investigated. For a suitable choice of parameters, these processes are long‐range dependent. After a detailed study of the asymptotic behaviour of their correlations, we investigate their mixing properties and then give some simulated examples.

Date: 1995
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