Seasonal and cyclical long memory

Arteche, Josu; and Robinson, Peter M. (1998) Seasonal and cyclical long memory. [Working paper]
Copy

There has recently been great interest in time series with long memory, namely series whose dependence decays slowly in the sense that autocovariances are not summable and the spectral density is unbounded. This concept has been extended to SCLM (Seasonal/Cyclical Long Memory) where the dependence between seasonal or cyclic observations decays similarly slowly. We discuss issues related to SCLM processes such as modelling, estimation, statistical inference, applications and extensions.


picture_as_pdf

Download

Atom BibTeX OpenURL ContextObject in Span OpenURL ContextObject Dublin Core MPEG-21 DIDL Data Cite XML EndNote HTML Citation METS MODS RIOXX2 XML Reference Manager Refer ASCII Citation
Export

Downloads