A note on self-similarity for discrete time series

Dominique Guegan () and Zhiping Lu ()
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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]

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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.

Keywords: Covariance stationary; Long memory processes; short memory processes; self-similar; asymptotically second-order self-similar; autocorrelation function; Processus longue mémoire; self similarité; hétéroscédasticité (search for similar items in EconPapers)
Date: 2007-11
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00187910
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Published in 2007

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