Time-Varying Fractionally Integrated Processes with Nonstationary Long Memory

DOI10.1137/S0040585X97983304MaRDI QIDQ3605051zbMATH OpenOpenAlexFDO

Authors 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

asymptotically stationary incrementsnonstationary long memorypartial sumsself-similar processestime-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)

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Cited in

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• A generalized ARFIMA model with smooth transition fractional integration parameter
• Fractional differencing and long memory processes
• Asymptotics of partial sums of linear processes with changing memory parameter
• Nonhomogeneous fractional integration and multifractional processes
• Randomly fractionally integrated processes
• The increment ratio statistic
• Long-memory modeling and forecasting: evidence from the U.S. historical series of inflation
• Modelling long-memory time series with finite or infinite variance: a general approach
• Projective Stochastic Equations and Nonlinear Long Memory
• Impulse responses of fractionally integrated processes with long memory
• Testing Fractional Order of Long Memory Processes: A Monte Carlo Study
• APPARENT LONG MEMORY IN TIME SERIES AS AN ARTIFACT OF A TIME-VARYING MEAN: CONSIDERING ALTERNATIVES TO THE FRACTIONALLY INTEGRATED MODEL
• Measuring the roughness of random paths by increment ratios
• Fractional Deterministic Factor Analysis of Economic Processes with Memory and Nonlocality
• DETECTION OF NONCONSTANT LONG MEMORY PARAMETER
• Fractionally Integrated Moving Average Stable Processes With Long-Range Dependence
• Memory properties of transformations of linear processes
• Invariance principle, multifractional Gaussian processes and long-range dependence
• Invariance principle for a class of non stationary processes with long memory
• Time-varying fractionally integrated processes with finite or infinite variance and nonstationary long memory

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