Time-Varying Fractionally Integrated Processes with Finite or Infinite Variance and Nonstationary Long Memory

Author:

Bružaitė Kristina,Surgailis Donatas,Vaičiulis Marijus

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics

Cited by 5 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献

1. Asymptotics of partial sums of linear processes with changing memory parameter*;Lithuanian Mathematical Journal;2013-04

2. Aggregation of random-coefficient AR(1) process with infinite variance and common innovations;Lithuanian Mathematical Journal;2009-10

3. The increment ratio statistic;Journal of Multivariate Analysis;2008-03

4. Nonhomogeneous fractional integration and multifractional processes;Stochastic Processes and their Applications;2008-02

5. Time-Varying Fractionally Integrated Processes with Nonstationary Long Memory;Theory of Probability & Its Applications;2008-01

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