Open Conference Systems, 50th Scientific meeting of the Italian Statistical Society

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Time-varying long-memory processes
Luisa Bisaglia, Matteo Grigoletto

Last modified: 2018-05-25


In this work we propose a new class of long-memory models with time-varying fractional parameter. In particular, the dynamics of the long-memory coefficient, d, is specified through a stochastic recurrence equation driven by the score of the predictive likelihood, as suggested by Creal et al. (2013) and Harvey (2013).


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