A smooth transition long-memory model

DOI10.1515/SNDE-2012-0042zbMath1506.62478OpenAlexW3121351630MaRDI QIDQ5881694

Anne Peguin-Feissolle, Unnamed Author, Gilles Dufrénot, Charles Lai Tong

Publication date: 13 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2012-0042

zbMATH Keywords

nonlinearitylogisticlong-memorytime-varying parameter

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Asymptotics of partial sums of linear processes with changing memory parameter ⋮ A generalized ARFIMA model with smooth transition fractional integration parameter ⋮ Time-varying persistence of inflation: evidence from a wavelet-based approach ⋮ Long-memory modeling and forecasting: evidence from the U.S. historical series of inflation

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