Skip to main content

Long Memory in Nonlinear Processes

  • Deo R
  • Hsieh M
  • Hurvich C
  • et al.
N/ACitations
Citations of this article
10Readers
Mendeley users who have this article in their library.
Get full text
This PDF is freely available from an open access repository. It may not have been peer-reviewed.

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.

Cite

CITATION STYLE

APA

Deo, R., Hsieh, M., Hurvich, C. M., & Soulier, P. (2006). Long Memory in Nonlinear Processes (pp. 221–244). https://doi.org/10.1007/0-387-36062-x_10

Register to see more suggestions

Mendeley helps you to discover research relevant for your work.

Already have an account?

Save time finding and organizing research with Mendeley

Sign up for free