Search Results - subject:"memory process"

Semiparametric Generalized Long Memory Modelling of GCC Stock Market Returns: A Wavelet Approach

Boubaker, Heni; Sghaier, Nadia - Institut de Préparation à l'Administration et à la … - 2014

This paper proposes a new class of semiparametric generalized long memory model with FIA- PARCH errors (SEMIGARMA-FIAPARCH model) that extends the conventionnel GARMA model to incorporate nonlinear deterministic trend, in the mean equation, and to allow for time varying volatility, in the...

Persistent link: https://www.econbiz.de/10010754787

Modelling for the Wavelet Coefficients of ARFIMA Processes

Nanamiya, Kei - Institute of Economic Research, Hitotsubashi University - 2013

We consider the model for the discrete nonboundary wavelet coefficients of ARFIMA processes. Although many authors have explained the utility of the wavelet transform for the long dependent processes in semiparametrical literature, there have been a few studies in parametric setting. In this...

Persistent link: https://www.econbiz.de/10010633048

Forecasting long memory processes subject to structural breaks

WANG, Shin-Huei; BAUWENS, Luc; HSIAO, Cheng - Center for Operations Research and Econometrics (CORE), … - 2012

We develop an easy-to-implement method for forecasting a stationary autoregressive fractionally integrated moving average (ARFIMA) process subject to structural breaks with unknown break dates. We show that an ARFIMA process subject to a mean shift and a change in the long memory parameter can...

Persistent link: https://www.econbiz.de/10010927723

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

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

Approximating long-memory DNA sequences by short-memory process

Gao, Jie; Xu, Zhen-yuan; Zhang, Li-ting - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 17, pp. 3475-3485

This paper analyzes the approximation of a general long-memory ARFIMA (p,d,q) process by a short-memory ARMA(1, 1) process. To validate this approximation, a mean square error forecast criterion is considered, and the calculation of the mean square error between the observation Xt+l of an ARFIMA...

Persistent link: https://www.econbiz.de/10011062750

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