Long Memory in Nonlinear Processes

DOI10.1007/0-387-36062-X_10zbMATH Open1187.62141MaRDI QIDQ3416892FDOQ3416892

Authors Rohit Deo, Meng-Chen Hsieh, Clifford Hurvich, Philippe Soulier 

Publication date 9 January 2007

Published in Lecture Notes in Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0706.1836

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Abstract: It is generally accepted that many time series of practical interest exhibit strong dependence, i.e., long memory. For such series, the sample autocorrelations decay slowly and log-log periodogram plots indicate a straight-line relationship. This necessitates a class of models for describing such behavior. A popular class of such models is the autoregressive fractionally integrated moving average (ARFIMA) which is a linear process. However, there is also a need for nonlinear long memory models. For example, series of returns on financial assets typically tend to show zero correlation, whereas their squares or absolute values exhibit long memory. Furthermore, the search for a realistic mechanism for generating long memory has led to the development of other nonlinear long memory models. In this chapter, we will present several nonlinear long memory models, and discuss the properties of the models, as well as associated parametric andsemiparametric estimators.

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