Search Results - subject:"Sample autocorrelation function"

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

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

This paper investigates the accuracy of bootstrap-based bias correction of persistence measures for long memory fractionally integrated processes. The bootstrap method is based on the semi-parametric sieve approach, with the dynamics in the long memory process captured by an autoregressive...

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

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