The Correlogram of a Long Memory Process Plus a Simple Noise

A frequent property of data, particularly in the financial area, is that the correlogram is low but remains positive for many lags. A plausible explanation for this is that the process consists of a stationary, long memory component plus a white noise component of much larger variance. The implications of such a composition are explored including the consequences for estimation of the long memory parameter

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Year of publication:	1998
Authors:	Granger, C. W. J. ; Mármol, Francesc
Publisher:	[S.l.] : SSRN
Subject:	Zeitreihenanalyse \| Time series analysis \| Theorie \| Theory \| ARMA-Modell \| ARMA model \| Stochastischer Prozess \| Stochastic process
Description of contents:	Abstract [papers.ssrn.com]

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 1997 erstellt Volltext nicht verfügbar
Classification:	C22 - Time-Series Models
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014067472