LARGE SAMPLE INFERENCE FOR LONG MEMORY PROCESSES - Hardcover

Surgailis, Donatas; Koul, Hira L; Giraitis, Liudas

Hardcover

ISBN 10: 1848162782 ISBN 13: 9781848162785

Publisher: Imperial College Press, 2011

Synopsis

Box and Jenkins (1970) made the idea of obtaining a stationary time series by differencing the given, possibly nonstationary, time series popular. Numerous time series in economics are found to have this property. Subsequently, Granger and Joyeux (1980) and Hosking (1981) found examples of time series whose fractional difference becomes a short memory process, in particular, a white noise, while the initial series has unbounded spectral density at the origin, i.e. exhibits long memory.Further examples of data following long memory were found in hydrology and in network traffic data while in finance the phenomenon of strong dependence was established by dramatic empirical success of long memory processes in modeling the volatility of the asset prices and power transforms of stock market returns.At present there is a need for a text from where an interested reader can methodically learn about some basic asymptotic theory and techniques found useful in the analysis of statistical inference procedures for long memory processes. This text makes an attempt in this direction. The authors provide in a concise style a text at the graduate level summarizing theoretical developments both for short and long memory processes and their applications to statistics. The book also contains some real data applications and mentions some unsolved inference problems for interested researchers in the field.

About this title

Review

"The book provides a systematic and unified rigorous discussion on the characteristics of the short and long memory processes and their applications in statistics. It is an excellent and useful book that I strongly recommend for theoretical researchers and practitioners who are interested in inference for long memory processes." -- Professor Linyuan Li, University of New Hampshire

Edition details

• Publisher: Imperial College Press
• Publication date: 2011
• Language: English
• ISBN 10: 1848162782
• ISBN 13: 9781848162785
• Binding: Hardcover
• Edition number: 1
• Number of pages: 596