EconPapers    
Economics at your fingertips  
 

Generating schemes for long memory processes: Regimes, aggregation and linearity

James Davidson () and Philipp Sibbertsen ()

No 2002,46, Technical Reports from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen

Abstract: This paper analyses a class of nonlinear time series models exhibiting long memory. These processes exhibit short memory fluctuations around a local mean (regime) which switches randomly such that the durations of the regimes follow a power law. We show that if a large number of independent copies of such a process are aggregated, the resulting processes are Gaussian, have a linear representation, and converge after normalisation to fractional Brownian motion. Two cases arise, a stationary case in which the partial sums of the process converge, and a nonstationary case in which the process itself converges, the Hurst coefficient falling in the ranges ( 1 2 , 1) and (0, 1 2 ) respectively. However, a non-aggregated regime process is shown to converge to a Levy motion with infinite variance, suitably normalised, emphasising the fact that time aggregation alone fails to yield a FCLT. We comment on the relevance of our results to the interpretation of the long memory phenomenon, and also report some simulations aimed to throw light on the problem of discriminating between the models in practice.

Date: 2002
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5) Track citations by RSS feed

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/77268/1/2002-46.pdf (application/pdf)

Related works:
Journal Article: Generating schemes for long memory processes: regimes, aggregation and linearity (2005) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb475:200246

Access Statistics for this paper

More papers in Technical Reports from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().

 
Page updated 2019-10-19
Handle: RePEc:zbw:sfb475:200246