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A New Test for Short Memory in Long Memory Time Series
Authors:Timothy A C Hughes  Jaechoul Lee
Abstract:This article considers short memory characteristics in a long memory process. We derive new asymptotic results for the sample autocorrelation difference ratios. We used these results to develop a new portmanteau test that determines if short memory parameters are statistically significant. In simulations, the new test can detect short memory components more often than the Ljung-Box test when these short memory components are in fact within a long memory process. Interestingly, our test finds short memory autocorrelations in U.S. inflation rate data, whereas the Ljung-Box test fails to find these autocorrelations. Modeling these short memory autocorrelations of the inflation rate data leads to improved model accuracy and more precise prediction.
Keywords:Autoregressive fractionally integrated moving-average  Goodness-of-fit test  Portmanteau test  Sample autocorrelation  
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