A note on self-similarity for discrete time series
Résumé
The purpose of this paper is to study the self-similar properties of discrete-time long memory processes. We apply our results to specific processes such as GARMA processes and GIGARCH processes, heteroscedastic models and the processes with switches and jumps.
On démontre dans ce papier que les processus longue mémoire à temps discret sont self-similaires. Le comportement de self similarité de processus hétéroscédastiques est aussi étudié.
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