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- W2084289231 abstract "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. Dans cette Note, nous proposons une extension des processus longue mémoire multivariés VARFIMA permettant de modéliser à la fois la dépendence à mémoire courte, la saisonalité et la dependence à mémoire longue. Nous étudions quelques propriétés statistiques du modèle." @default.
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- W2084289231 date "2010-03-01" @default.
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- W2084289231 title "A multivariate generalized long memory model" @default.
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- W2084289231 doi "https://doi.org/10.1016/j.crma.2010.02.001" @default.
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