scholarly journals On continuous-time autoregressive fractionally integrated moving average processes

Bernoulli ◽  
2009 ◽  
Vol 15 (1) ◽  
pp. 178-194 ◽  
Author(s):  
Henghsiu Tsai
Keyword(s):  
Continuous Time ◽  
Moving Average ◽  
Moving Average Processes

Long-memory continuous-time correlation models

2003 ◽  
Vol 40 (04) ◽  
pp. 1133-1146 ◽  
Author(s):  
Chunsheng Ma
Keyword(s):  
Continuous Time ◽  
Time Scale ◽  
Long Memory ◽  
Moving Average ◽  
Time Correlation ◽  
Power Law Decay ◽  
Correlation Models ◽  
Moving Average Processes ◽  
Short Memory ◽  
Continuous Time Processes

This paper introduces a rather general class of stationary continuous-time processes with long memory by randomizing the time-scale of short-memory processes. In particular, by randomizing the time-scale of continuous-time autoregressive and moving-average processes, many power-law decay and slow decay correlation functions are obtained.

Long-memory continuous-time correlation models

2003 ◽  
Vol 40 (4) ◽  
pp. 1133-1146 ◽  
Author(s):  
Chunsheng Ma
Keyword(s):  
Continuous Time ◽  
Time Scale ◽  
Long Memory ◽  
Moving Average ◽  
Time Correlation ◽  
Power Law Decay ◽  
Correlation Models ◽  
Moving Average Processes ◽  
Short Memory ◽  
Continuous Time Processes

This paper introduces a rather general class of stationary continuous-time processes with long memory by randomizing the time-scale of short-memory processes. In particular, by randomizing the time-scale of continuous-time autoregressive and moving-average processes, many power-law decay and slow decay correlation functions are obtained.

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