Search Results - subject:"Long memory process"

The Wavelet-based Estimation for Long Memory Signal Plus Noise Models

Nanamiya, Kei - Institute of Economic Research, Hitotsubashi University - 2011

We propose new wavelet-based procedure to estimate the memory parameter of an unobserved process from an observed process affected by noise in order to improve the performance of the estimator by taking into account the dependency of the wavelet coefficients of long memory processes. In our...

Persistent link: https://www.econbiz.de/10009421787

Purchasing power parity and the long memory properties of real exchange rates: does one size fit all?

Aloy, Marcel; Boutahar, Mohamed; Gente, Karine; … - HAL - 2011

or a long memory process. The main results are as follows. Firstly, most of the bilateral real exchange rates under study …

Persistent link: https://www.econbiz.de/10008805564

ON TESTS FOR LONG MEMORY PROCESS BEHAVIOR OF INTERNATIONAL TOURISM MARKET: THAILAND AND INDIA

Sriboonchitta, Songsak; Chaitip, Prasert; Balogh, Peter; … - In: APSTRACT: Applied Studies in Agribusiness and Commerce 05 (2011)

long-memory process such as R/S test, Modified R/S test and GPH-test are employed to study these markets. The empirical … findings in general provide more support for long memory process in international tourism market of Thailand and evidence for … understand the behaviour of long memory process in international tourism market before launching any stimulating campaign to this …

Persistent link: https://www.econbiz.de/10009132422

ON TESTS FOR LONG-TERM DEPENDENCE: INDIAâ€™S INTERNATIONAL TOURISM MARKET

Chaitip, Prasert; Balogh, Peter; Kovacs, Sandor; … - In: APSTRACT: Applied Studies in Agribusiness and Commerce 05 (2011)

There have been growing interest in studying behavior of long memory process in tourism market. In this research …. Moreover, three statistical tests for long memory process such as R/S test, Modified R/S test and GPH-test are employed to test … in these market. The empirical findings in general provide more support for no long memory process or no long …

Persistent link: https://www.econbiz.de/10009132431

Sieve bootstrap monitoring for change from short to long memory

Chen, Zhanshou; Xing, Yuhong; Li, Fuxiao - In: Economics letters 140 (2016), pp. 53-56

Persistent link: https://www.econbiz.de/10011615973

On Tests For Long-Term Dependence: India’s International Tourism Market

Chaitip, Prasert; Sriboonchitta, Songsak; Balogh, Peter; … - In: Annals of the University of Petrosani, Economics 10 (2010) 3, pp. 87-94

There has been growing interest in studying behaviour of long memory process in tourism market. In this research … Sri Lanka. Moreover, three statistical test for long-memory process such as R/S test, Modified R/S test and GPH-test are … employed to test in these markets. The empirical findings in general provide more support for no long memory process or no long …

Persistent link: https://www.econbiz.de/10008853286

An easy test for two stationary long processes being uncorrelated via AR approximations

WANG, Shin-Huei; HSIAO, Cheng - Center for Operations Research and Econometrics (CORE), … - 2008

This paper proposes an easy test for two stationary autoregressive fractionally integrated moving average (ARFIMA) processes being uncorrelated via AR approximations. We prove that an ARFIMA process can be approximated well by an autoregressive (AR) model and establish the theoretical foundation...

Persistent link: https://www.econbiz.de/10005065306

Analysing CPI inflation by the fractionally integrated ARFIMA-STVGARCH model

Belkhouja, Mustapha; Mootamri, Imene; Boutahar, Mohamed - HAL - 2008

The aim of this paper is to study the dynamic evolution of inflation rate. The model is constructed by extending the ARFIMA-GARCH to ARFIMA with a time varying GARCH model where the transition from one regime to another is evolving smoothly over time. We show by Monte Carlo experiments that the...

Persistent link: https://www.econbiz.de/10008793834

Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations

Hou, Jie; Perron, Pierre - In: Journal of Econometrics 182 (2014) 2, pp. 309-328

We propose a modified local-Whittle estimator of the memory parameter of a long memory time series process which has good properties under an almost complete collection of contamination processes that have been discussed in the literature, mostly separately. These contaminations include...

Persistent link: https://www.econbiz.de/10010906797

Asymptotic behavior of the Whittle estimator for the increments of a Rosenblatt process

Bardet, Jean-Marc; Tudor, Ciprian - In: Journal of Multivariate Analysis 131 (2014) C, pp. 1-16

The purpose of this paper is the estimation of the self-similarity index of the Rosenblatt process by using the Whittle estimator. Via chaos expansion into multiple stochastic integrals, we establish a non-central limit theorem satisfied by this estimator. We illustrate our results by numerical...

Persistent link: https://www.econbiz.de/10010930752