2008/10/09 by Anne Philippe, Philippe, Anne, Marie‐Claude Viano +1
Economics, Econometrics and Finance · #60G10 #60G12 #62M10 #62M15 #Complex Systems and Time Series Analysis #FOS: Mathematics #Financial Risk and Volatility Modeling #Statistics Theory (math.ST) #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.0810.1718
openalex publication_date 2008/10/09 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
This paper investigates the second order properties of a stationary process after random sampling. While a short memory process gives always rise to a short memory one, we prove that long-memory can disappear when the sampling law has heavy enough tails. We prove that under rather general conditions the existence of the spectral density is preserved by random sampling. We also investigate the effects of deterministic sampling on seasonal long-memory.