On the existence of some processes

Randal Douc, François Roueff and Philippe Soulier

Stochastic Processes and their Applications, 2008, vol. 118, issue 5, 755-761

Abstract: A new sufficient condition for the existence of a stationary causal solution of an equation is provided. This condition allows us to consider coefficients with power-law decay, so that it can be applied to the so-called FIGARCH processes, whose existence is thus proved.

Keywords: ARCH; processes; Fractionally; integrated; processes; Long; memory (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (11)

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