Hyperbolic Decay Time Series

DOI10.1111/1467-9892.00104MaRDI QIDQ4216180zbMATH OpenOpenAlexFDO

Authors A. Ian McLeod

Publication date 25 January 1999

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1611.00826

zbMATH Keywords

covariance determinantduality in time seriesfractional differencingfractional Gaussian noiselong-range dependenceminimum mean-square-error predictornonstationary time series modelling

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Abstract: Hyperbolic decay time series such as, fractional Gaussian noise (FGN) or fractional autoregressive moving-average (FARMA) process, each exhibit two distinct types of behaviour: strong persistence or antipersistence. Beran (1994) characterized the family of strongly persistent time series. A more general family of hyperbolic decay time series is introduced and its basic properties are characterized in terms of the autocovariance and spectral density functions. The random shock and inverted form representations are derived. It is shown that every strongly persistent series is the dual of an antipersistent series and vice versa. The asymptotic generalized variance of hyperbolic decay time series with unit innovation variance is shown to be infinite which implies that the variance of the minimum mean-square error one-step linear predictor using the last $k$ observations decays slowly to the innovation variance as $k$ gets large.

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Cited in

(7)

• Faster ARMA maximum likelihood estimation
• On processes with summable partial autocorrelations
• Conditional and marginal mutual information in Gaussian and hyperbolic decay time series
• A Class of Antipersistent Processes
• scientific article; zbMATH DE number 5736245 (Why is no real title available?)
• Ian McLeod’s Contribution to Time Series Analysis—A Tribute
• Asymptotics for moving average processes with dependent innovations

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