Long memory and stochastic trend

Remigijus Leipus and Marie-Claude Viano

Statistics & Probability Letters, 2003, vol. 61, issue 2, 177-190

Abstract: 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.

Keywords: Long; memory; Stochastic; trend; Compound; Binomial; process; Compound; Poisson; process; Mixture; model (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (12)

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