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Non-mixing properties of long memory processes

Author

Listed:
  • Dominique Guegan

    (Département Mathématiques Mécanique et Informatique - URCA - Université de Reims Champagne-Ardenne)

  • Sophie A. Ladoucette

    (Département Mathématiques Mécanique et Informatique - URCA - Université de Reims Champagne-Ardenne)

Abstract

In this Note, we provide a new statistical approach concerning some long memory processes, the k-factor Gegenbauer processes, in proving that they satisfy some non-mixing properties.

Suggested Citation

  • Dominique Guegan & Sophie A. Ladoucette, 2001. "Non-mixing properties of long memory processes," Post-Print halshs-00193651, HAL.
    • Handle: RePEc:hal:journl:halshs-00193651
    DOI: 10.1016/S0764-4442(01)02052-3
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    Citations

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    Cited by:

    1. Dominique Guegan, 2005. "How can we Define the Concept of Long Memory? An Econometric Survey," Econometric Reviews, Taylor & Francis Journals, vol. 24(2), pages 113-149.
    2. Dufrenot, Gilles & Guegan, Dominique & Peguin-Feissolle, Anne, 2005. "Long-memory dynamics in a SETAR model - applications to stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(5), pages 391-406, December.
    3. Dominique Guegan, 2005. "How can we Define the Concept of Long Memory? An Econometric Survey," Econometric Reviews, Taylor & Francis Journals, vol. 24(2), pages 113-149.
    4. Laurent Ferrara & Dominique Guegan, 2006. "Fractional seasonality: Models and Application to Economic Activity in the Euro Area," Post-Print halshs-00185370, HAL.
    5. Rohit Deo & Clifford Hurvich & Philippe Soulier & Yi Wang, 2005. "Propagation of Memory Parameter from Durations to Counts," Econometrics 0511010, University Library of Munich, Germany.
    6. Dominique Guegan, 2003. "A prospective study of the k-factor Gegenbauer processes with heteroscedastic errors and an application to inflation rates," Post-Print halshs-00201314, HAL.

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