Semiparametric Detection of Changes in Long Range Dependence
نویسندگان
چکیده
منابع مشابه
Long Range Dependence
The notion of long range dependence is discussed from a variety of points of view, and a new approach is suggested. A number of related topics is also discussed, including connections with non-stationary processes, with ergodic theory, self-similar processes and fractionally differenced processes, heavy tails and light tails, limit theorems and large deviations.
متن کاملSEMIFAR models - a semiparametric framework for modelling trends, long-range dependence and nonstationarity
Time series in many areas of application often display local or global trends. Typical models that provide statistical \explanations" of such trends are, for example, polynomial regression, smooth bounded trends that are estimated nonparametrically, and di erence-stationary processes such as, for instance, integrated ARIMA processes. In addition, there is a fast growing literature on stationary...
متن کاملShort Range and Long Range Dependence
In this section a discussion of the evolution of a notion of strong mixing as a measure of short range dependence and with additional restrictions a sufficient condition for a central limit theorem, is given. In the next section I will give a characterization of strong mixing for stationary Gaussian sequences. In Sect. 3 I will give a discussion of processes subordinated to Gaussian processes a...
متن کاملLong Range Dependence in Copula Models
Modeling short and long time dependence in univariate time series may be successfully accomplished through existing time series processes. In the multivariate setting just a few complex models exist to take care of the di®erent marginal dynamics as well as of the dynamic covariance matrix. The copula approach factors the joint distribution into the marginals and a dependence function, its copul...
متن کاملLong-range Dependence in Daily Stock Volatilities
Recent empirical studies show that the squares of high-frequency stock returns are long-range dependent and can be modeled as fractionally integrated processes, using, for example, long-memory stochastic volatility models. Are such long-range dependencies common among stocks? Are they caused by the same sources of variation? In this paper, we classify daily stock returns of S&P 500 companies on...
متن کاملذخیره 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 Time Series Analysis
سال: 2019
ISSN: 0143-9782,1467-9892
DOI: 10.1111/jtsa.12448