Long memory and stochastic trend.
type: Item
instance of: scholarly article
title: Long memory and stochastic trend.
zbMATH Open document ID: 1101.62371
DOI: 10.1016/S0167-7152(02)00347-4
author: Remigijus Leipus
author: Marie-Claude Viano
published in: Statistics \& Probability Letters
publication date: 2004-03-14T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 91B70
Mathematics Subject Classification ID: 60G51
zbMATH DE Number: 2055340
zbMATH Keywords: Long memory
zbMATH Keywords: Stochastic trend
zbMATH Keywords: Compound Binomial process
zbMATH Keywords: Compound
zbMATH Keywords: Poisson process
zbMATH Keywords: Mixture model
MaRDI profile type: Publication
cites work: A simple linear time series model with misleading nonlinear properties
cites work: The Hurst effect under trends
cites work: Long memory and regime switching
cites work: Rescaled variance and related tests for long memory in volatility and levels
cites work: Testing for long memory in the presence of a general trend
cites work: Memory and infrequent breaks
cites work: A simple nonlinear time series model with misleading linear properties
cites work: A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
cites work: ON THE ROBUSTNESS TO SMALL TRENDS OF ESTIMATION BASED ON THE SMOOTHED PERIODOGRAM
cites work: Discrimination between monotonic trends and long-range dependence
cites work: Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
cites work: Modeling long memory in stock market volatility
cites work: Long-Term Memory in Stock Market Prices
cites work: Q5341279
cites work: Q3831810
cites work: Testing the null hypothesis of stationarity against an autoregressive unit root alternative
full work available at URL: s0167-7152(02)00347-4
OpenAlex ID: W1964855247
description: scientific article; zbMATH DE number 2055340