ADVANCEMENT OF FRACTIONALLY DIFFERENCED GEGENBAUER PROCESSES WITH LONG MEMORY

DOI10.1017/S0004972716000241zbMATH Open1342.62147OpenAlexW657170926MaRDI QIDQ3186397FDOQ3186397

Authors: G. S. Dissanayake 

Publication date: 9 August 2016

Published in: Bulletin of the Australian Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0004972716000241

zbMATH Keywords

Monte Carlo experimentlong memory time seriesGegenbauer processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) White noise theory (60H40)

Cited In (2)

• Comparison of standard long memory time series
• Estimation methods for stationary Gegenbauer processes

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