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dc.contributor.authorMa, Chunsheng
dc.identifier.citationMa, C. (2004). "The Use of the Variogram in Construction of Stationary Time Series Models." Journal of Applied Probability 41(4): 1093-1103.en_US
dc.descriptionClick on the DOI link to access the article (may not be free)en_US
dc.description.abstractThis paper studies a class of stationary covariance models, in both the discrete- and the continuous-time domains, which possess a simple functional form γ(τ + τ0) + γ(τ - τ0) - 2γ(τ), where τ0 is a fixed lag and γ(τ) is an intrinsically stationary variogram, and include the fractional Gaussian noise of Kolmogorov (1940) and a stochastic volatility model of Barndorff-Nielsen and Shephard (2001), (2002) as special cases. Properties of the class, and interesting special cases with long memory, are studied. We also characterize the covariance function via the variogram.en_US
dc.publisherApplied Probability Trusten_US
dc.relation.ispartofseriesJournal of Applied Probability;v.41 no.4
dc.subjectIntrinsically stationary
dc.subjectLong memory
dc.subjectPositive definite
dc.titleThe use of the variogram in construction of stationary time series modelsen_US
dc.description.versionPeer reviewed
dc.rights.holderCopyright 2004 Applied Probability Trust

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