publication . Research . 2004

Time Series with Long Memory

西埜, 晴久;
Open Access Japanese
  • Published: 30 Jun 2004 Journal: 千葉大学経済研究 = Economic journal of Chiba University, volume 19, issue 1, pages 67-94 (issn: 0912-7216, Copyright policy)
  • Publisher: 千葉大学総合政策学会
Abstract
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 model in statistical terms. The paper explains basic limit theorems and estimation methods for long-memory processes in order to apply long-memory models to economic time series.
Subjects
ACM Computing Classification System: Hardware_MEMORYSTRUCTURES
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Research . 2004
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