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Non-mixing properties of long memory processes

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Publication:2748303
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DOI10.1016/S0764-4442(01)02052-3zbMath1135.62368OpenAlexW2080439335MaRDI QIDQ2748303

Dominique Guégan, Sophie A. Ladoucette

Publication date: 14 October 2001

Published in: Comptes Rendus de l'Académie des Sciences - Series I - Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0764-4442(01)02052-3



Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)


Related Items (6)

Subsampling inference for the mean of heavy-tailed long-memory time series ⋮ Kernel estimates of the mean and the volatility functions in a nonlinear autoregressive model with ARCH errors ⋮ ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA ⋮ TAIL AND NONTAIL MEMORY WITH APPLICATIONS TO EXTREME VALUE AND ROBUST STATISTICS ⋮ Generalised kernel smoothing for non-negative stationary ergodic processes ⋮ How can we Define the Concept of Long Memory? An Econometric Survey




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