Disaggregation of long memory processes on C^ class

DOI10.1214/ECP.V11-1133MaRDI QIDQ2433666zbMATH OpenOpenAlexFDO

Authors Didier Dacunha-Castelle, Lisandro J. Fermín

Publication date 3 November 2006

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0509308, https://eudml.org/doc/127437

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Abstract: We prove that a large set of long memory (LM) processes (including classical LM processes and all processes whose spectral densities have a countable number of singularities controlled by exponential functions) are obtained by an aggregation procedure involving short memory (SM) processes whose spectral densities are infinitely differentiable (C^{infty}). We show that the C^{infty} class of spectral densities is the optimal class to get a general result for disaggregation of LM processes in SM processes, in the sense that the result given in C^{infty} class cannot be improved taking for instance analytic functions instead of indefinitely derivable functions.

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(4)

• Asymptotic behavior of weakly dependent aggregated processes
• Orthogonal series density estimation in a disaggregation scheme
• Limit theorems for aggregated linear processes
• On the Structure and Estimation of Reflection Positive Processes

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