Time-Varying Fractionally Integrated Processes with Nonstationary Long Memory

DOI10.1137/S0040585X97983304zbMath1167.60326OpenAlexW2076583155MaRDI QIDQ3605051

Anne Philippe, Donatas Surgailis, Marie-Claude Viano

Publication date: 19 February 2009

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x97983304

zbMATH Keywords

partial sumsself-similar processesasymptotically stationary incrementsnonstationary long memorytime-varying fractional integration

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) General second-order stochastic processes (60G12) Self-similar stochastic processes (60G18)

Related Items (11)

Asymptotics of partial sums of linear processes with changing memory parameter ⋮ Projective Stochastic Equations and Nonlinear Long Memory ⋮ A generalized ARFIMA model with smooth transition fractional integration parameter ⋮ Long-memory modeling and forecasting: evidence from the U.S. historical series of inflation ⋮ Measuring the roughness of random paths by increment ratios ⋮ Nonhomogeneous fractional integration and multifractional processes ⋮ The increment ratio statistic ⋮ Time-varying fractionally integrated processes with finite or infinite variance and nonstationary long memory ⋮ Invariance principle, multifractional Gaussian processes and long-range dependence ⋮ DETECTION OF NONCONSTANT LONG MEMORY PARAMETER ⋮ Invariance principle for a class of non stationary processes with long memory

This page was built for publication: Time-Varying Fractionally Integrated Processes with Nonstationary Long Memory