Fractionally differenced Gegenbauer processes with long memory: A review

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

*Corresponding author for this work

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

Original languageEnglish
JournalStatistical Science
Volume33
Issue3
Pages (from-to)413-426
Number of pages14
ISSN0883-4237
DOIs
Publication statusPublished - 1 Aug 2018

Keywords

  • Fractional difference
  • Gegenbauer process
  • Heteroskedasticity
  • Invertibility
  • Long memory
  • Spectral density
  • Stationarity
  • Volatility

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