An Empirical Strategy to Detect Spurious Effects in Long Memory and Occasional-Break Processes

被引：6

作者：

Bisaglia, Luisa ^{[1
]}

Gerolimetto, Margherita ^{[1
]}

机构：

[1] Univ Padua, Dept Stat, I-35121 Padua, Italy

来源：

COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION | 2009年 / 38卷 / 01期

关键词：

Break-free series; Long memory; Occasional structural breaks; TIME-SERIES; RANGE DEPENDENCE; STRUCTURAL-CHANGES; LIMIT-THEOREMS; PARAMETER; MODELS; WAVELETS;

D O I：

10.1080/03610910802446977

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Long-range dependence and structural changes in level are intimely related phenomena and it is very difficult to separate the two effects. In this article, we present an empirical procedure to distinguish between long-memory and occasional-break processes. An extensive Monte Carlo experiment illustrates the performance of the procedure and an application to real data is also included.

引用

页码：172 / 189

页数：18

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