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An approximation to the Rosenblatt process using martingale differences

✍ Scribed by Chao Chen; Liya Sun; Litan Yan


Book ID
117983942
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
258 KB
Volume
82
Category
Article
ISSN
0167-7152

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The use of the bloomfield model as an ap
✍ L.A Gil-Alana πŸ“‚ Article πŸ“… 2004 πŸ› Elsevier Science 🌐 English βš– 539 KB

In this article, we propose the use of a model proposed by Bloomfield [1] as an approximation to the ARMA structure underlying the I(0) disturbances in the context of fractional integration. For this purpose, we use tests due to Robinson [2] and show, via Monte Carlo simulations, that the power prop