How close is a fractional process to a random walk with drift?

DOI10.1515/jtse-2013-0032zbMath1415.60039OpenAlexW2033483666MaRDI QIDQ1695665

Rolf Larsson

Publication date: 7 February 2018

Published in: Journal of Time Series Econometrics (Search for Journal in Brave)

Full work available at URL: https://www.degruyter.com/view/j/jtse.2015.7.issue-2/jtse-2013-0032/jtse-2013-0032.xml?format=INT

zbMATH Keywords

distancerandom walkfractional process

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Fractional processes, including fractional Brownian motion (60G22) Sums of independent random variables; random walks (60G50)

Cites Work

• Long memory relationships and the aggregation of dynamic models
• Long memory processes and fractional integration in econometrics
• A Suggested Statistical Model of some Time Series which occur in Nature
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING