Search Results - subject:"Sample autocorrelation"

Uncovering hidden insights with long-memory process detection : an in-depth overview

Hassani, Hossein; Yarmohammadi, Masoud; Marvian, Leila - In: Risks : open access journal 11 (2023) 6, pp. 1-15

using the sample autocorrelation function (ACF) to identify long-memory processes. While the ACF establishes the theoretical …

Persistent link: https://www.econbiz.de/10014335857

Bias Correction of Persistence Measures in Fractionally Integrated Models

Grose, Simone D.; Martin, Gael M.; Poskitt, D.S. - Department of Econometrics and Business Statistics, … - 2014

bootstrap technique are used to estimate the finite sample distributions of the sample autocorrelation coefficients and the … improvement yielded by pre-filtering in the case of the sample autocorrelation function is shown to depend heavily on the accuracy …

Persistent link: https://www.econbiz.de/10010958957

Bias correction of persistence measures in fractionally integrated models

Grose, Simone D.; Martin, Gael M.; Poskitt, Donald Stephen - 2014 - Revised 13, 29

Persistent link: https://www.econbiz.de/10011780804

Bias Correction of Persistence Measures in Fractionally Integrated Models

Grose, Simone D.; Martin, Gael M.; Poskitt, Donald S. - Department of Econometrics and Business Statistics, … - 2013

bootstrap technique are used to estimate the finite sample distributions of the sample autocorrelation coefficients and the …

Persistent link: https://www.econbiz.de/10010860421

On the sample path properties of mixed Poisson processes

Miaoqi, Fu; Peng, Xianhua - In: Operations research letters 46 (2018) 1, pp. 1-6

Persistent link: https://www.econbiz.de/10011807836

Bartlett's formula for a general class of non linear processes

Francq, Christian; Zakoian, Jean-Michel - Volkswirtschaftliche Fakultät, … - 2009

A Bartlett-type formula is proposed for the asymptotic distribution of the sample autocorrelations of nonlinear processes. The asymptotic covariances between sample autocorrelations are expressed as the sum of two terms. The first term corresponds to the standard Bartlett's formula for linear...

Persistent link: https://www.econbiz.de/10005621851

The sample autocorrelation function and the detection of long-memory processes

Hassani, Hossein; Leonenko, Nikolai; Patterson, Kerry - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 24, pp. 6367-6379

The detection of long-range dependence in time series analysis is an important task to which this paper contributes by showing that whilst the theoretical definition of a long-memory (or long-range dependent) process is based on the autocorrelation function, it is not possible for long memory to...

Persistent link: https://www.econbiz.de/10011059967

A note on the sum of the sample autocorrelation function

Hassani, Hossein - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 8, pp. 1601-1606

It is shown that the sum of the sample autocorrelation function at lag h≥1 is always −12 for any stationary time series … with arbitrary length T≥2 (Hassani, 2009 [1]). In this paper, the distribution of a set of the sample autocorrelation … function using the properties of this quantity is considered. It is found that the distribution of a set of the sample …

Persistent link: https://www.econbiz.de/10011063467

Long range dependence effects and ARCH modelling

Mikosch, Thomas; Starica, Catalin - EconWPA - 2004

Our study supports the hypothesis of global non-stationarity of the return time series. We bring forth both theoretical and empirical evidence that the long range dependence (LRD) type behavior of the sample ACF and the periodogram of absolute return series and the IGARCH effect documented in...

Persistent link: https://www.econbiz.de/10005556365

Changes of structure in financial time series and the GARCH model

Mikosch, Thomas; Starica, Catalin - EconWPA - 2004

In this paper we propose a goodness of fit test that checks the resemblance of the spectral density of a GARCH process to that of the log-returns. The asymptotic behavior of the test statistics are given by a functional central limit theorem for the integrated periodogram of the data. A...

Persistent link: https://www.econbiz.de/10005119079