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Can I read Long Memory and Stochastic Trend on EtoBox?
Long Memory and Stochastic Trend by Remigijus Leipus; Marie-Claude Viano is a Mathematics article available to read on EtoBox.
What is Long Memory and Stochastic Trend about?
In this paper, we study a general stochastic trend model and provide conditions on the partial sums which imply the convergence of the V=S statistic. These conditions generalize those in Giraitis et al. (J. Appl. Probab. 38 (2001) 1033) obtained in the case of deterministic trend model. As a particular example of stochastic trend we study a regime switching process called mixture model. We prove that in the non-trivial cases the partial sums converge to a compound Poisson process whereas in "degenerated" cases it resembles the behavior of the I (d -1) process.
Who reads Long Memory and Stochastic Trend?
It is typically read by researchers, students, and practitioners in Mathematics.
- Author
- Remigijus Leipus; Marie-Claude Viano
- Publisher
- Elsevier Science; Elsevier ; Elsevier BV (ISSN 0167-7152)
- Published
- 2003
- Language
- EN
- Field
- Mathematics (Physical Sciences)