Properties and Tests for Long Memory
Essays on structural change tests under long memory
... CUSUM tests tend to be the most powerful and that self-normalized tests offer the best size control, Chapter 4 proposes a new family of self-normalized CUSUM tests for structural change under ...
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Misspecification tests for Periodic Long Memory GARCH models.
... misspecifiction tests, for example Likelihood Ratio (LR) and Lagrange Multiplier (LM), may be used to select the more appropriate ...in long memory ...
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Bootstrapping long memory tests: some Monte Carlo results
... a long memory process and a short memory process with comparable short-term ...both tests are sensitive to the choice of lag truncation ...the long run variance σ 2 ∞ ...
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Simple (but effective) tests of long memory versus structural breaks
... spurious long memory ...proposed tests is application to financial datasets, we investigate their applicability to datasets with a smaller sample size, n = ...proposed tests with the three ...
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Dual Long Memory Properties with Skewed and Fat-Tail Distribution
... exhibits long memory ...the long memory property present in the Korean stock ...analyzed long memory in the major stock markets, few studies have focused on emerging capital ...
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The Empirical Properties of Some Popular Estimators of Long Memory Processes
... asymptotic properties of various esti- mators have been ...theoretical properties of the R/S estimator have been examined by Mandelbrot (1975) and Mandelbrot and Taqqu ...a long-tailed distribution ...
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Moment Tests for Window Length Selection in Singular Spectrum Analysis of Short- and Long-Memory Processes
... statistical tests designed to test the convergence of the autocovariance ...and long–memory ...moment tests will choose a window length consistent with the Whitney embedding ...
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The evaluation of long-term mechanical properties of wood-based panels by indoor exposure tests
... of long-term durability ...the long-term durability of wood-based panels. The indoor exposure tests lasted for a maximum of 10 years, providing the panels with the changes in moisture content that ...
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Exploring Long Memory and Nonlinearity in Irish Real Exchange Rates using Tests based on Semiparametric Estimation
... possible long memory in the series may well be ...signal long memory quite ...various tests do not all ...new tests produce copious amounts of output when the number of ...
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Tests for Establishing Security Properties
... performing tests on the public log of spent ...run tests on output data in order to determine if the expected properties ...such properties testable ...performing tests on the ...the ...
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Long memory properties and asymmetric effects of emerging equity market: evidence from Malaysia
... the long-memory properties of financial asset returns particularly in major financial ...the long-term dependence in the daily returns of 200 individual stocks on the New York Stock Exchange ...
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Properties of tests for spatial error components
... the properties of specification tests against alternatives of the spatial error components ...the properties of these tests, and in particular about their performance in situations typically ...
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The properties of some goodness of fit tests
... The properties of Pearson’s goodness-of-fit test, as used in density forecast evaluation, income distribution analysis and elsewhere, are ...analog” tests of Anderson (1994) are shown to be less generally ...
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The effects of systematic sampling and temporal aggregation on discrete time long memory processes and their finite sample properties
... interesting properties of discrete time long memory processes is that although the autocorrelation level is affected by systematic sampling or temporal aggregation, the decay rate of the ...
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Robust estimation in time series with long and short memory properties
... and long memory correlation structures, in the presence of additive ...asymptotic properties of a robust autocovariance function and a robust semiparametric estimation method of the fractional ...
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Long Term Memory Brain
... a long term memory loss of vegetable names. Affect memory of long term brain is declarative memory is the cerebrum ...working memory of explicit memory and remembering ...
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Block Bootstrap and Long Memory
... …nite-sample properties are investigated via Monte Carlo experiments and the results indicate that it can be used as an alternative, and in most of the cases to be preferred than the Sieve AR bootstrap for ...
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Modeling Long Memory in REITs
... initial tests for long memory using the approaches described in Section ...of long memory in both the absolute and squared volatility ...the long memory volatility models ...
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Estimating Long Memory in Volatility
... APPENDIX: Proofs The estimators introduced in section 2.1 are minimum contrast estimators. Empirical pro- cesses are the main tools in the study of such estimators. Since the Whittle contrast is based on the spectral ...
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Modelling Long Memory in REITs
... initial tests for long memory using the approaches described in Section ...of long memory in relation to the return series ...of long memory in both the absolute and ...
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