Inference for Long-Memory Processes Using Local Lyapunov Exponents

Local Lyapunov exponent (LLE) is a finite-time version of Lyapunov exponent, a tool for analyzing chaos. In this paper, we propose a new approach in analyzing long-memory time series. We apply LLE in the context of long-memory processes. The distribution function of the LLE for ARFIMA(p,d,q) process is derived, and an unbiased estimator and some uniformly most powerful tests for long-memory are proposed

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Year of publication:	[2009]
Authors:	Gonzaga, Alex
Other Persons:	Bonzo, Daniel (contributor)
Publisher:	[2009]: [S.l.] : SSRN
Subject:	Zeitreihenanalyse \| Time series analysis \| Induktive Statistik \| Statistical inference \| Schätztheorie \| Estimation theory \| Nichtparametrisches Verfahren \| Nonparametric statistics
Description of contents:	Abstract [papers.ssrn.com]