Fractionally differenced Gegenbauer processes with long memory: A review

G. S. Dissanayake*, M. S. Peiris, T. Proietti

*Corresponding author af dette arbejde

Publikation: Bidrag til tidsskrift/Konferencebidrag i tidsskrift /Bidrag til avisTidsskriftartikelForskningpeer review

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Abstract

The main objective of this paper is to review and promote the usefulness of generalized fractionally differenced Gegenbauer processes in time series and econometric research endeavours. In particular, theoretical and computational aspects centered around fractionally differenced Gegenbauer processes with long memory together with a number of interesting and elegant extensions will be discussed. In-depth conceptual developments and large scale simulation study results are presented for clarity and completeness. This survey highlights a number of gaps in the existing literature of this subject area and becomes a valuable reference source for time series practitioners.

OriginalsprogEngelsk
TidsskriftStatistical Science
Vol/bind33
Nummer3
Sider (fra-til)413-426
Antal sider14
ISSN0883-4237
DOI
StatusUdgivet - 1 aug. 2018

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