Some recent results fornon-linear processes with long range dependence - Télécom Paris Accéder directement au contenu
Communication Dans Un Congrès Année : 2012

Some recent results fornon-linear processes with long range dependence

Résumé

Linear processes with long range dependence are obtained by linear filtering of white noise using a fractional integration operator. Integrated on large scales, such processes can be approximated by a fractional Brownian motion. In the non-linear case, with similar second-order properties, such an approximation no longer holds. We will recall different limit distributions that may appear in the large scale asymptotic, depending on the type of non-linearity. The goal of this talk is to present recent results applying to non-linear long range dependent processes that go beyond the large scale approximation. For instance, we will answer the following question: is the large scale approximation sufficient to determine the asymptotic behavior of standard estimators of the long memory parameter ?
Fichier non déposé

Dates et versions

hal-02286371 , version 1 (13-09-2019)

Identifiants

  • HAL Id : hal-02286371 , version 1

Citer

François Roueff. Some recent results fornon-linear processes with long range dependence. IWAP 2012 (workshop), Aug 2012, Jerusalem, Israel. ⟨hal-02286371⟩
18 Consultations
0 Téléchargements

Partager

Gmail Facebook X LinkedIn More