An introduction to vector Gegenbauer processes with long memory | Zendy

Wu Hao | Zendy; Peiris Shelton | Zendy

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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.

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