A multivariate generalized long memory model

作者：Diongue Abdou Ka^*

来源：Comptes Rendus Mathematique, 2010, 348(5-6): 327-330.

DOI：10.1016/j.crma.2010.02.001

In this Note, we propose a new flexible multivariate long memory process which is a self-similar model with the ability to capture short-range dependence, seasonality and long-range dependence characteristics. Specifically, we extend the multivariate ARFIMA model proposed by Sowell (1989) [8], and investigate some of its statistical properties.

• 出版日期2010-3