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Large Sample Inference for Long Memory Processes - Liudas Giraitis

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Large Sample Inference for Long Memory Processes

Kniha: Large Sample Inference for Long Memory Processes
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A discrete time stationary stochastic process with finite variance is said to have long memory if its autocorrelations tend to zero hyperbolically in the lag, i.e. like a power of the lag, as the lag ...


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Specifikace
Nakladatelství: Marston Book Services Ltd
Jazyk: anglicky
EAN: 9781848162785
Popis

A discrete time stationary stochastic process with finite variance is said to have long memory if its autocorrelations tend to zero hyperbolically in the lag, i.e. like a power of the lag, as the lag tends to infinity. The absolute sum of autocorrelations of such processes diverges and their spectral density at the origin is unbounded.

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