most citedAggregation of autoregressive processes and long memory

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math.ST2008★ 1 cited

Aggregation of autoregressive processes and long memory

Didier Dacunha-Castelle, Lisandro J. Fermín

We study the aggregation of AR processes and generalized Ornstein-Uhlenbeck (OU) processes. Mixture of spectral densities with random poles are the main tool. In this context, we a…