Hostname: page-component-586b7cd67f-gb8f7 Total loading time: 0 Render date: 2024-11-25T05:37:04.709Z Has data issue: false hasContentIssue false
  • English
  • Français

ADVANCEMENT OF FRACTIONALLY DIFFERENCED GEGENBAUER PROCESSES WITH LONG MEMORY

Part of: Stochastic analysis Inference from stochastic processes

Published online by Cambridge University Press:  12 May 2016

GNANADARSHA SANJAYA DISSANAYAKE
GNANADARSHA SANJAYA DISSANAYAKE*
Affiliation:
School of Mathematics and Statistics, University of Sydney, New South Wales 2006, Australia email gnanadarshad@gmail.com
Rights & Permissions [Opens in a new window]

Abstract

An abstract is not available for this content so a preview has been provided. As you have access to this content, a full PDF is available via the ‘Save PDF’ action button.
Image of the first page of this content. For PDF version, please use the ‘Save PDF’ preceeding this image.'

Keywords

long memory time seriesGegenbauer processesMonte Carlo experiment

MSC classification

Primary: 62M10: Time series, auto-correlation, regression, etc.
Secondary: 60H40: White noise theory
Type
Abstracts of Australasian PhD Theses
Information
Bulletin of the Australian Mathematical Society , Volume 94 , Issue 1 , August 2016 , pp. 173 - 174
Copyright
© 2016 Australian Mathematical Publishing Association Inc. 

References

Dissanayake, G. S. and Peiris, M. S., ‘Generalized fractional processes with conditional heteroskedasticity’, Sri Lankan J. Appl. Statist. 12 (2011), 1–12.CrossRefGoogle Scholar
Dissanayake, G. S., Peiris, M. S. and Proietti, T., ‘State space modeling of Gegenbauer processes with long memory’, Comput. Statist. Data Anal., Special issue of Ann. Comput. Financ. Econom., to appear, doi:10.1016/j.csda.2014.09.014.CrossRefGoogle Scholar
Dissanayake, G. S., Peiris, M. S. and Proietti, T., ‘Estimation of generalized fractionally differenced processes with conditionally heteroskedastic errors’, in: International Work Conference on Time Series, Proc. ITISE 2014 (eds. Ruiz, I. R. and Garcia, G. R.) 871–890. Copicentro Granada S L, ISBN 978-84-15814-97-9.Google Scholar