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The Variance Profile

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Figure

Figure 1: Variance profiles for MA(1) and AR(1) processes with unit p.e.v.
Figure 2: Variance profiles for cyclical models with ρ = 0.8 and σ2κ = (1 − ρ2)
Figure 3: Variance profiles for fractional noise process with memory parameter d.
Table 1: Estimation of the long memory parameter: true value is d = 0.4
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