A note on self-similarity for discrete time series

Dominique Guegan (1) , Zhiping Lu (1, 2)

1 CES - Centre d'économie de la Sorbonne
2 ECNU - East China Normal University [Shangaï]

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.

Mots clés: Covariance stationary; Long memory processes; short memory processes; self-similar; asymptotically second-order self-similar; autocorrelation function

Mots clés: Processus longue mémoire; self similarité; hétéroscédasticité

Domaines: Economies et finances; Probabilités [math.PR]; Statistiques [math.ST]; Méthodes et statistiques; Théorie [stat.TH]

Dominique Guegan, Zhiping Lu. A note on self-similarity for discrete time series. 2007. ⟨halshs-00187910⟩