Multivariate fractionally integrated CARMA processes

نویسندگان

چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Estimation of seasonal fractionally integrated processes

This paper discusses the estimation of fractionally integrated processes with seasonal components. In order to estimate the fractional parameters, we propose several estimators obtained from the regression of the log-periodogram on different bandwidths selected around and/or between the seasonal frequencies. For comparison purposes, the semi-parametric method introduced in Geweke and Porter-Hud...

متن کامل

Invariance principles for fractionally integrated nonlinear processes

Invariance principles (or functional central limit theorems) play an important role in econometrics and statistics. For example, to obtain asymptotic distributions of unit-root test statistics, researchers have applied invariance principles of various forms; see [24, 30, 40] among others. The primary goal of this paper is to establish invariance principles for a class of fractionally integrated...

متن کامل

Spectral Representation of Multivariate Regularly Varying Lévy and CARMA Processes

A spectral representation for regularly varying Lévy processes with index between one and two is established and the properties of the resulting random noise are discussed in detail giving also new insight in the L2-case where the noise is a random orthogonal measure. This allows a spectral definition of multivariate regularly varying Lévy-driven continuous time autoregressive moving average (C...

متن کامل

Alternative Bootstrap Procedures for Testing Cointegration in Fractionally Integrated Processes

This paper considers alternative methods of testing cointegration in fractionally integrated processes, using the bootstrap. The special feature of the fractional case is the dependence of the asymptotic null distributions of conventional statistics on the fractional integration parameter. Such tests are said to be asymptotically non-pivotal, and conventional asymptotic tests are therefore not ...

متن کامل

Inference on the Cointegration Rank in Fractionally Integrated Processes ∗

For univariate time series we suggest a new variant of efficient score tests against fractional alternatives. This test has three important merits. First, by means of simulations we observe that it is superior in terms of size and power in some situations of practical interest. Second, it is easily understood and implemented as a slight modification of the Dickey-Fuller test, although our score...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Journal of Multivariate Analysis

سال: 2007

ISSN: 0047-259X

DOI: 10.1016/j.jmva.2006.07.001