The purpose of this paper is to use Bahadur’s asymptotic relative efficiency measure to compare the performance of various tests of autoregressive (AR) versus moving average (MA) error processes in regression models. Tests to be examined include non-nested procedures of the models against each other, and classical procedures based upon testing both the AR and MA error processes against the more...

Abstract The large deviations of an infinite moving average process with exponentially light tails are very similar to those of an i.i.d. sequence as long as the coefficients decay fast enough. If they do not, the large deviations change dramatically. We study this phenomenon in the context of functional large, moderate and huge deviation principles.

Alaskan salmon stocks have exhibited enormous fluctuations in production during the 20th century. In this paper, we investigate our hypothesis that large-scale salmon-production variability is driven by climatic processes in the Northeast Pacific Ocean. Using a time-series analytical technique known as intervention analysis, we demonstrate that Alaskan salmonids alternate between high and low p...

In contrast to the fact that Gaussian linear processes generally have nonunique moving-average representations, non-Gaussian univariate linear processes have been shown to admit essentially unique moving-average representation, under various regularity conditions. We extend the one-dimensional result to multivariate processes. Under various conditions on the intercomponent dependence structure ...

We study the autocorrelation structure and the spectral density function of aggregates from a discrete-time process. The underlying discrete-time process is assumed to be a stationary AutoRegressive Fractionally Integrated Moving-Average (ARFIMA) process, after suitable number of differencing if necessary. We derive closed-form expressions for the limiting autocorrelation function and the norma...

In this paper, we examine for long memory dynamics in the daily and weekly exchange rates of six Asia Pacific countries: Australia, Japan, New Zealand, Singapore, South Korea and Taiwan. Three semiparametric frequency domain estimators and the exact maximum likelihood estimator are used. Estimation results reveal strong evidence of long memory in the weekly exchange rate series for all six coun...