文章基本信息

标题：Generalized Fractional Processes with Conditional Heteroscedasticity
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作者：Gnanadarsha Dissanayake ; Shelton Peiris
期刊名称：Sri Lankan Journal of Applied Statistics
印刷版ISSN：1391-4987
电子版ISSN：2424-6271
出版年度：2011
卷号：12
页码：1-12
DOI：10.4038/sljastats.v12i0.4964
语种：English
出版社：The Institute of Applied Statistics, Sri Lanka
摘要：Generalized fractional processes in terms of Gegenbauer polynomials and GARCH (Generalized Autoregressive Conditional Heteroscedastic) errors is introduced and derived as a time series model. A related simulation study of the proposed model depicts statistical properties of the new class established in terms of the realization, sample autocorrelation function, the- oretical autocorrelation function, partial autocorrelation function and the spectral density function.DOI: http://dx.doi.org/10.4038/sljastats.v12i0.4964 Sri Lankan Journal of Applied Statistics Vol.12 2011 pp.1-12
关键词：Mathematics; Statistics;Long memory; Gegenbauer Polynomials; Heteroscedasticity; Fractional Dierence; Volatility; Spectral Density; Stationarity; Invertibility