URL 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
A process X(t) is self-similar with index H > 0 if the finite-dimensional distributions of X(at) are...
Abstract: This note surveys some recent results on self-similar Markov processes. Since the research...
Positive self-similar Markov processes (pssMp) are positive Markov processes that satisfy the scalin...
URL des Documents de travail :http://ces.univ-paris1.fr/cesdp/CESFramDP2007.htmClassification JEL : ...
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...
AbstractA self-similar process Z(t) has stationary increments and is invariant in law under the tran...
International audienceThe main purpose of this work is to study self-similar branching Markov chains...
Statistical self-similarity of random processes in continuous-domains is defined through invariance ...
31 pagesInternational audienceThe aim of this paper is to present a result of discrete approximation...
Financial and seismic data, like many other high frequency data are known to exhibit memory effects....
In this paper we obtain a Lamperti type representation for real-valued self-similar Markov processes...
This work is concerned with the analysis of self-similar stochastic pro-cesses, where statistical se...
International audienceThe Lamperti correspondence gives a prominent role to two random time changes:...
A process X(t) is self-similar with index H > 0 if the finite-dimensional distributions of X(at) are...
Abstract: This note surveys some recent results on self-similar Markov processes. Since the research...
Positive self-similar Markov processes (pssMp) are positive Markov processes that satisfy the scalin...
URL des Documents de travail :http://ces.univ-paris1.fr/cesdp/CESFramDP2007.htmClassification JEL : ...
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...
AbstractA self-similar process Z(t) has stationary increments and is invariant in law under the tran...
International audienceThe main purpose of this work is to study self-similar branching Markov chains...
Statistical self-similarity of random processes in continuous-domains is defined through invariance ...
31 pagesInternational audienceThe aim of this paper is to present a result of discrete approximation...
Financial and seismic data, like many other high frequency data are known to exhibit memory effects....
In this paper we obtain a Lamperti type representation for real-valued self-similar Markov processes...
This work is concerned with the analysis of self-similar stochastic pro-cesses, where statistical se...
International audienceThe Lamperti correspondence gives a prominent role to two random time changes:...
A process X(t) is self-similar with index H > 0 if the finite-dimensional distributions of X(at) are...
Abstract: This note surveys some recent results on self-similar Markov processes. Since the research...
Positive self-similar Markov processes (pssMp) are positive Markov processes that satisfy the scalin...
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