Trend stationarity versus long-range dependence in time series analysis

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

Characterizing Non-stationarity in the Presence of Long-range Dependence

Based on ours and other studies, it is becoming evident that Internet traffic is often nonstationary. Since such traffic is generally found to be long-range dependent as well, and the two properties can get confused, it is important to have a method for separately characterizing them. This paper proposes such a methodology aimed specifically for traffic scenarios where nonstationarity comes int...

متن کامل

Identifying Common Long-range Dependence in a Vector Time Series

We propose a method to identify common persistent components in a k-dimensional time series. Assuming that the individual series of the vector process have long-range dependence, we apply canonical correlation analysis to the series and its lagged values. A zero canonical correlation implies the existence of a short-memory linear combination, hence the existence of common long-range dependence;...

متن کامل

Specification Testing in Nonlinear Time Series with Long – Range Dependence

This paper proposes a model specification testing procedure for parametric specification of the conditional mean function in a nonlinear time series model with long–range dependence. An asymptotically normal test is established even when long–range dependence is involved. In order to implement the proposed test in practice using a simulated example, a bootstrap simulation procedure is establish...

متن کامل

Log-periodogram Regression of Time Series with Long Range Dependence

This paper discusses the use of fractional exponential models (Robinson (1990), Beran (1994)) to model the spectral density f(x) of a covariance stationary process when f(x) may be decomposed as f(x) = x ?2d f (x), where f (x) is bounded and bounded away from zero. A form of log-periodogram regression technique is presented both in the parametric context (i.e. f (x) is a nite order exponential ...

متن کامل

Bayesian Time Series Modelling and Prediction with Long-Range Dependence

We present a class of models for trend plus stationary component time series, in which the spectral densities of stationary components are represented via non-parametric smoothness priors combined with long-range dependence components. We discuss model tting and computational issues underlying Bayesian inference under such models, and provide illustration in studies of a climatological time ser...

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 Econometrics

سال: 2002

ISSN: 0304-4076

DOI: 10.1016/s0304-4076(01)00099-9