Long memory and stochastic trend.

DOI10.1016/S0167-7152(02)00347-4MaRDI QIDQ1424482zbMATH OpenOpenAlexFDO

Authors Remigijus Leipus, Marie-Claude Viano

Publication date 14 March 2004

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0167-7152(02)00347-4

zbMATH Keywords

CompoundCompound Binomial processLong memoryMixture modelPoisson processStochastic trend

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stochastic models in economics (91B70)

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Cites work

• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
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• Rescaled variance and related tests for long memory in volatility and levels
• Testing for long memory in the presence of a general trend
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Cited in

(15)

• Long memory and stochastic trend.
• Long-memory property of nonlinear transformations of break processes
• The increment ratio statistic
• Rescaled range analysis in the presence of stochastic trend
• Modelling structural breaks, long memory and stock market volatility: an overview
• Renewal regime switching and stable limit laws
• Testing for unit roots in autoregressions with multiple level shifts
• On a random-coefficient AR(1) process with heavy-tailed renewal switching coefficient and heavy-tailed noise
• ASYMPTOTICS FOR COINTEGRATED PROCESSES WITH INFREQUENT STOCHASTIC LEVEL SHIFTS AND OUTLIERS
• Robust inference in autoregressions with multiple outliers
• The Evaluation of Long Term Trend I
• Random coefficient autoregression, regime switching and long memory
• scientific article; zbMATH DE number 2174795 (Why is no real title available?)
• On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests
• The increment ratio statistic under deterministic trends

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