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A note on self-similarity for discrete time series

Author

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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])

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.

Suggested Citation

  • Dominique Guegan & Zhiping Lu, 2007. "A note on self-similarity for discrete time series," Post-Print halshs-00187910, HAL.
    • Handle: RePEc:hal:journl:halshs-00187910
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00187910
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    References listed on IDEAS

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