Invariance Principles for Tempered Fractionally Integrated Processes
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DOI: 10.1016/j.spa.2017.11.004
Abstract: Abstract We discuss invariance principles for autoregressive tempered fractionally integrated moving averages in α -stable ( 1 α ≤ 2 ) i.i.d. innovations and related tempered linear processes with vanishing tempering parameter lim N →… read more here.
Keywords: fractionally integrated; principles tempered; invariance principles; tempered fractionally ... See more keywords