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Disaggregation of Long Memory Processes on $\mathcal{C}^{\infty}$ Class

Dublin Core		PKP Metadata Items	Metadata for this Document
1.	Title	Title of document	Disaggregation of Long Memory Processes on $\mathcal{C}^{\infty}$ Class
2.	Creator	Author's name, affiliation, country	Didier Dacunha-Castelle; Universite Paris-Sud
2.	Creator	Author's name, affiliation, country	Lisandro J Fermin; Universite Paris-Sud and Universidad Central de Venezuela
3.	Subject	Discipline(s)
3.	Subject	Keyword(s)	Aggregation; disaggregation; long memory process; mixture.
3.	Subject	Subject classification	60E07; 60G10; 60G50; 62M10
4.	Description	Abstract	We prove that a large set of long memory (LM) processes (including classical LM processes and all processes whose spectral densities have a countable number of singularities controlled by exponential functions) are obtained by an aggregation procedure involving short memory (SM) processes whose spectral densities are infinitely differentiable ($C^\infty$). We show that the $C^\infty$ class of spectral densities infinitely differentiable is the best class to get a general result for disaggregation of LM processes in SM processes, in the sense that the result given in $C^\infty$ class cannot be improved by taking for instance analytic functions instead of indefinitely derivable functions.
5.	Publisher	Organizing agency, location
6.	Contributor	Sponsor(s)	The research of L. Fermín was supported in part by: FONACIT and Proyecto Agenda Petr'oleo (Venezuela).
7.	Date	(YYYY-MM-DD)	2006-05-09
8.	Type	Status & genre	Peer-reviewed Article
8.	Type	Type
9.	Format	File format	PDF
10.	Identifier	Uniform Resource Identifier	http://ecp.ejpecp.org/article/view/1133
10.	Identifier	Digital Object Identifier	10.1214/ECP.v11-1133
11.	Source	Journal/conference title; vol., no. (year)	Electronic Communications in Probability; Vol 11
12.	Language	English=en
14.	Coverage	Geo-spatial location, chronological period, research sample (gender, age, etc.)
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