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A note on self-similarity for discrete time series
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Abstract
The purpose of this paper is to study the self-similar properties of discrete-time long memory processes. We apply our results to specific processes such as GARMA processes and GIGARCH processes, heteroscedastic models and the processes with switches and jumps.Covariance stationary, Long memory processes, short memory processes, self-similar, asymptotically second-order self-similar, autocorrelation function.