Asymptotics for Fractional Processes [#1015781]

Asymptotics for Fractional Processes by James Davidson
English | July 1, 2025 | ISBN: 0198955170 | 224 pages | PDF | 3.31 Mb
Asymptotics for Fractional Processes develops an approach to the large-sample analysis of fractional partial-sum processes, featuring long memory increments. Long memory in a time series, equivalently called strong dependence, is usually defined to mean that the autocovariance sequence is non-summable. The processes studied have a linear moving average representation with a single parameter, denoted d, to measure the degree of long-run persistence. Long memory means that d is positive, while negative d defines a special type of short memory known as antipersistence in which the autocovariance sequence sums to zero. Antipersistent processes are treated in parallel with the long memory case.