Several studies have found that occasional-break processes may produce realizations with slowly decaying autocorrelations, which is hardly distinguished from the long memory phenomenon. In this paper we suggest the use of the Box-Pierce statistics to discriminate long memory and occasional-break processes. We conduct an extensive Monte Carlo experiment to examine the finite sample properties of...

The interest sparked by observations of long-range dependent traffic in real networks has lead to a revival of interest in non-standard queueing systems. One such queueing system is the M/G/l queue where the service-time distribution has infinite variance. The known results for such systems are asymptotic in nature, typically providing the asymptotic form for the tail of the workload distributi...

The paper reviews the recent progress on CO2-laser writing of long-period fiber gratings (LPFGs) in different kinds of fibers, including conventional single-mode fiber (SMF), boron-doped SMF, polarization-maintaining fiber, photonic crystal fiber, and polarization-maintaining photonic crystal fiber. In particular, we report the writing dynamics for the understanding of the physical mechanisms i...

Long memory or structural breaks: Can either explain nonstationary real exchange rates under the current oat? Christopher F. Baum Boston College Chestnut Hill, MA 02467 USA John T. Barkoulas Louisiana Tech University Ruston, LA 71272 USA Mustafa Caglayan Koç University Istanbul, Turkey This paper considers two potential rationales for the apparent absence of mean reversion in real exchange rate...

It is well known that the Spanish stock market index (IBEX 35) exhibits unit roots. However, the implications of possible structural breaks in this series have not been deeply investigated. In this paper, we show that, when including a break at the beginning of 1998, the order of integration of the series becomes slightly smaller, strengthening the evidence of mean-reverting behaviour. When the...

The onset of the COVID-19 pandemic has increased volatility in financial markets, motivating researchers to investigate its impact. Some use GARCH family models focus on long-memory persistence, while others Markov chain better identify structural breaks and regimes. However, no study addressed occurrence these two phenomena a unified framework. Since both are important features data, ignore on...

Regional inequality is severe in China since regional development is uneven due to various initial conditions and government policies. We employ unit root tests allowing for structural breaks to alternative inequality measures from 1952 to 2000. Empirical results indicate that (1) the regional inequality is trend stationary with structural breaks rather than follow a random walk. Thus, ignoring...

By means of the perturbative renormalization group method, we study a long-time behaviour of some symplectic discrete maps near elliptic and hyperbolic fixed points. It is shown that a naive renormalization group (RG) map breaks the symplectic symmetry and fails to describe a long-time behaviour. In order to preserve the symplectic symmetry, we present a regularization procedure, which gives a ...

Macroeconomists working with multivariate models typically face uncertainty over which (if any) of their variables have long run steady states which are subject to breaks. Furthermore, the nature of the break process is often unknown. In this paper, we draw on methods from the Bayesian clustering literature to develop an econometric methodology which: i) …nds groups of variables which have the ...