A note on self-similarity for discrete time series

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.

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Year of publication:	2007-11
Authors:	Guegan, Dominique ; Lu, Zhiping
Institutions:	HAL
Subject:	Covariance stationary \| Long memory processes \| short memory processes \| self-similar \| asymptotically second-order self-similar \| autocorrelation function

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Extent:	application/pdf
Series:	Post-Print.
Type of publication:	Book / Working Paper
Notes:	View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00187910
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010750763