کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5097107 | 1376571 | 2008 | 5 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A complete asymptotic series for the autocovariance function of a long memory process
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله

چکیده انگلیسی
An infinite-order asymptotic expansion is given for the autocovariance function of a general stationary long-memory process with memory parameter dâ(â1/2,1/2). The class of spectral densities considered includes as a special case the stationary and invertible ARFIMA(p,d,q) model. The leading term of the expansion is of the order O(1/k1â2d), where k is the autocovariance order, consistent with the well known power law decay for such processes, and is shown to be accurate to an error of O(1/k3â2d). The derivation uses Erdélyi's [Erdélyi, A., 1956. Asymptotic Expansions. Dover Publications, Inc, New York] expansion for Fourier-type integrals when there are critical points at the boundaries of the range of integration - here the frequencies {0,2Ï}. Numerical evaluations show that the expansion is accurate even for small k in cases where the autocovariance sequence decays monotonically, and in other cases for moderate to large k. The approximations are easy to compute across a variety of parameter values and models.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 147, Issue 1, November 2008, Pages 99-103
Journal: Journal of Econometrics - Volume 147, Issue 1, November 2008, Pages 99-103
نویسندگان
Offer Lieberman, Peter C.B. Phillips,