Modified information criteria and selection of long memory time series models

2014 ◽  
Vol 76 ◽  
pp. 116-131 ◽  
Author(s):  
Richard T. Baillie ◽  
George Kapetanios ◽  
Fotis Papailias
Keyword(s):  
Time Series ◽  
Long Memory ◽  
Information Criteria ◽  
Time Series Models ◽  
Memory Time ◽  
Modified Information Criteria ◽  
Selection Of

Unemployment hysteresis in Canada: an approach based on long-memory time series models

1996 ◽  
Vol 28 (7) ◽  
pp. 823-831 ◽  
Author(s):  
Zisimos Koustas ◽  
William Veloce
Keyword(s):  
Time Series ◽  
Long Memory ◽  
Time Series Models ◽  
Memory Time

scholarly journals Confidence Regions for Parameters in Stationary Time Series Models With Gaussian Noise

2022 ◽  
Vol 9 ◽  
Author(s):  
Xiuzhen Zhang ◽  
Riquan Zhang ◽  
Zhiping Lu
Keyword(s):  
Time Series ◽  
Empirical Likelihood ◽  
Long Memory ◽  
Score Function ◽  
Real Data ◽  
Confidence Regions ◽  
Stationary Time Series ◽  
Time Series Models ◽  
Finite Sample ◽  
Memory Time

This article develops two new empirical likelihood methods for long-memory time series models based on adjusted empirical likelihood and mean empirical likelihood. By application of Whittle likelihood, one obtains a score function that can be viewed as the estimating equation of the parameters of the long-memory time series model. An empirical likelihood ratio is obtained which is shown to be asymptotically chi-square distributed. It can be used to construct confidence regions. By adding pseudo samples, we simultaneously eliminate the non-definition of the original empirical likelihood and enhance the coverage probability. Finite sample properties of the empirical likelihood confidence regions are explored through Monte Carlo simulation, and some real data applications are carried out.

A class of nearly long-memory time series models

2002 ◽  
Vol 18 (2) ◽  
pp. 265-281 ◽  
Author(s):  
F.Jay Breidt ◽  
Nan-Jung Hsu
Keyword(s):  
Time Series ◽  
Long Memory ◽  
Time Series Models ◽  
Memory Time

scholarly journals Adjusted empirical likelihood for long-memory time-series models

2016 ◽  
Vol 11 (1) ◽  
pp. 220-233 ◽  
Author(s):  
Ramadha D. Piyadi Gamage ◽  
Wei Ning ◽  
Arjun K. Gupta
Keyword(s):  
Time Series ◽  
Empirical Likelihood ◽  
Long Memory ◽  
Time Series Models ◽  
Adjusted Empirical Likelihood ◽  
Memory Time
Sign in / Sign up

Export Citation Format

Share Document