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math.ST2018
Two Distinct Seasonally Fractionally Differenced Periodic Processes
Ahmed Bensalma
This article is devoted to study the effects of the S-periodical fractional differencing filter . To put this effect in evidence, we have derived the periodic auto-c…
math.ST2012
Testing the Fractional Integration Parameter Revisited: a Fractional Dickey-Fuller Test
Ahmed Bensalma, Mohamed Bentarzi
In this paper, in the first step, we show that the fractional Dickey-Fuller test proposed by Dolado et al [10] is useless in practice. In the second step, we propose a new testing…