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An introduction to vector Gegenbauer processes with long memory
Author(s) -
Wu Hao,
Peiris Shelton
Publication year - 2018
Publication title -
stat
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.61
H-Index - 18
ISSN - 2049-1573
DOI - 10.1002/sta4.197
Subject(s) - autoregressive model , uniqueness , series (stratigraphy) , class (philosophy) , mathematics , long memory , computer science , order (exchange) , vector (molecular biology) , econometrics , artificial intelligence , mathematical analysis , economics , geology , volatility (finance) , paleontology , recombinant dna , biochemistry , chemistry , finance , gene
This paper introduces a flexible new class of time series models generated by the vector Gegenbauer autoregressive moving average structure. We establish existence and uniqueness of second order solutions under certain regularity conditions. Following a simulation study, we provide evidence that supports parsimonious properties of the model building and applications. © 2018 John Wiley & Sons, Ltd.