Add to ORKGURL des Documents de travail :http://ces.univ-paris1.fr/cesdp/CESFramDP2007.htmClassification JEL : C02, C32, C40, C60.Documents de travail du Centre d'Economie de la Sorbonne 2007.55 - ISSN : 1955-611XThe 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
We propose a method to analyze a turbulent sequence focusing on the self-similar properties of the d...
We define a new type of self-similarity for one-parameter families of stochastic processes, which ap...
Introduction A stochastic process Y (t) is defined as self-similar with self-similarity parameter H...
URL des Documents de travail :<br />http://ces.univ-paris1.fr/cesdp/CESFramDP2007.htm<br />Classific...
The purpose of this paper is to study the self-similar properties of discrete-time long memory proce...
The purpose of this paper is to study the self-similar properties of discrete-time long memory proce...
To cite this version: Dominique Guegan, Zhiping Lu. A note on self-similarity for discrete time seri...
Abstract: This note surveys some recent results on self-similar Markov processes. Since the research...
AbstractA self-similar process Z(t) has stationary increments and is invariant in law under the tran...
Financial and seismic data, like many other high frequency data are known to exhibit memory effects....
This work is concerned with the analysis of self-similar stochastic pro-cesses, where statistical se...
Financial and seismic data, like many other high frequency data are known to exhibit memory effects....
Statistical self-similarity of random processes in continuous-domains is defined through invariance ...
A classical result, due to Lamperti, establishes a one-to-one correspondence between a class of stri...
We study the concept of self-similarity with respect to stochastic time change. The negative binomia...
We propose a method to analyze a turbulent sequence focusing on the self-similar properties of the d...
We define a new type of self-similarity for one-parameter families of stochastic processes, which ap...
Introduction A stochastic process Y (t) is defined as self-similar with self-similarity parameter H...
URL des Documents de travail :<br />http://ces.univ-paris1.fr/cesdp/CESFramDP2007.htm<br />Classific...
The purpose of this paper is to study the self-similar properties of discrete-time long memory proce...
The purpose of this paper is to study the self-similar properties of discrete-time long memory proce...
To cite this version: Dominique Guegan, Zhiping Lu. A note on self-similarity for discrete time seri...
Abstract: This note surveys some recent results on self-similar Markov processes. Since the research...
AbstractA self-similar process Z(t) has stationary increments and is invariant in law under the tran...
Financial and seismic data, like many other high frequency data are known to exhibit memory effects....
This work is concerned with the analysis of self-similar stochastic pro-cesses, where statistical se...
Financial and seismic data, like many other high frequency data are known to exhibit memory effects....
Statistical self-similarity of random processes in continuous-domains is defined through invariance ...
A classical result, due to Lamperti, establishes a one-to-one correspondence between a class of stri...
We study the concept of self-similarity with respect to stochastic time change. The negative binomia...
We propose a method to analyze a turbulent sequence focusing on the self-similar properties of the d...
We define a new type of self-similarity for one-parameter families of stochastic processes, which ap...
Introduction A stochastic process Y (t) is defined as self-similar with self-similarity parameter H...