Time Series with Long Memory

Research Japanese OPEN
西埜, 晴久;
  • Publisher: 千葉大学経済学会
  • Journal: 千葉大学経済研究 = Economic journal of Chiba University, volume 19, issue 1, pages 67-94 (issn: 0912-7216)
  • Publisher copyright policies & self-archiving
  • Subject:
    acm: Hardware_MEMORYSTRUCTURES

The paper investigates an application of long-memory processes to economic time series. We show properties of long-memory processes, which are motivated to model a long-memory phenomenon in economic time series. An FARIMA model is described as an example of long-memory ... View more
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