๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

A Note On Long Memory Time Series

โœ Scribed by Claude Diebolt; Vivien Guiraud

Publisher
Springer Netherlands
Year
2005
Tongue
English
Weight
234 KB
Volume
39
Category
Article
ISSN
0033-5177

No coin nor oath required. For personal study only.

๐Ÿ“œ SIMILAR VOLUMES

A note on filtering for long memory proc
A note on filtering for long memory processes
โœ A. Thavaneswaran; C.C. Heyde ๐Ÿ“‚ Article ๐Ÿ“… 2001 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 425 KB

This paper illustrates the use of quasilikelihood methods of inference for a class of possibly long-memory processes such as H-sssi (self-similar stationary increments) processes and long-range dependent sequences. In particular, they can be used in a general derivation without assuming normality o

Nonlinear time series with long memory:
Nonlinear time series with long memory: a model for stochastic volatility
โœ Peter M. Robinson; Paolo Zaffaroni ๐Ÿ“‚ Article ๐Ÿ“… 1998 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 568 KB

We introduce a nonlinear model of stochastic volatility within the class of "product type" models. It allows different degrees of dependence for the "raw" series and for the "squared" series, for instance implying weak dependence in the former and long memory in the latter. We discuss its main stati