Long memory and nonlinear time series
نویسندگان
چکیده
منابع مشابه
Long memory time series models
For a long time the most frequently used models in time series analysis were the AR, MA and ARMA processes. Their spectral densities are continuous and therefore bounded functions on [ — n, it]. If the periodogram of real data reached significantly high values, it was considered as an indication of the trend or of a periodic component. The bias arising after trend removal in the spectral densit...
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The last two decades have witnessed tremendous advances in econometric time series research. The linear stationary framework of ARMA and VAR models driven by i.i.d. shocks, which was for many years the cornerstone of econometric modelling, has increasingly given way to methods that can deal with the manifestly nonstationary and nonlinear features of many economic and financial time series. Two ...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2002
ISSN: 0304-4076
DOI: 10.1016/s0304-4076(02)00088-x