The Correlogram of a Long Memory Process Plus a Simple Noise

Clive W. J. Granger and Francesc Marmol

University of California at San Diego, Economics Working Paper Series from Department of Economics, UC San Diego

Abstract: A frequent property of data, particularly in the financial area, is that the correlogram is low but remains positive for many lags. A plausible explanation for this is that the process consists of a stationary, long memory component plus a white noise component of much larger variance. The implications of such a composition are explored including the consequences for estimation of the long memory parameter.

Date: 1997-11
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