Department of Economics and Business Economics

Fractionally differenced Gegenbauer processes with long memory: A review

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

Standard

Fractionally differenced Gegenbauer processes with long memory : A review. / Dissanayake, G. S.; Peiris, M. S.; Proietti, T.

In: Statistical Science, Vol. 33, No. 3, 01.08.2018, p. 413-426.

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

Harvard

Dissanayake, GS, Peiris, MS & Proietti, T 2018, 'Fractionally differenced Gegenbauer processes with long memory: A review', Statistical Science, vol. 33, no. 3, pp. 413-426. https://doi.org/10.1214/18-STS649

APA

Dissanayake, G. S., Peiris, M. S., & Proietti, T. (2018). Fractionally differenced Gegenbauer processes with long memory: A review. Statistical Science, 33(3), 413-426. https://doi.org/10.1214/18-STS649

CBE

MLA

Vancouver

Author

Dissanayake, G. S. ; Peiris, M. S. ; Proietti, T. / Fractionally differenced Gegenbauer processes with long memory : A review. In: Statistical Science. 2018 ; Vol. 33, No. 3. pp. 413-426.

Bibtex

@article{5032b25feded47fd9770812ec2373ab0,
title = "Fractionally differenced Gegenbauer processes with long memory: A review",
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.",
keywords = "Fractional difference, Gegenbauer process, Heteroskedasticity, Invertibility, Long memory, Spectral density, Stationarity, Volatility",
author = "Dissanayake, {G. S.} and Peiris, {M. S.} and T. Proietti",
year = "2018",
month = aug,
day = "1",
doi = "10.1214/18-STS649",
language = "English",
volume = "33",
pages = "413--426",
journal = "Statistical Science",
issn = "0883-4237",
publisher = "Institute of Mathematical Statistics",
number = "3",

}

RIS

TY - JOUR

T1 - Fractionally differenced Gegenbauer processes with long memory

T2 - A review

AU - Dissanayake, G. S.

AU - Peiris, M. S.

AU - Proietti, T.

PY - 2018/8/1

Y1 - 2018/8/1

N2 - 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.

AB - 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.

KW - Fractional difference

KW - Gegenbauer process

KW - Heteroskedasticity

KW - Invertibility

KW - Long memory

KW - Spectral density

KW - Stationarity

KW - Volatility

UR - http://www.scopus.com/inward/record.url?scp=85051572526&partnerID=8YFLogxK

U2 - 10.1214/18-STS649

DO - 10.1214/18-STS649

M3 - Journal article

AN - SCOPUS:85051572526

VL - 33

SP - 413

EP - 426

JO - Statistical Science

JF - Statistical Science

SN - 0883-4237

IS - 3

ER -