長記憶性をもつ時系列について

元データ 2004-06-30

概要

The paper investigates an application of long-memory processes to economic time series. We show properties of long-memory processes, which are motivated to model a long-memory phenomenon in economic time series. An FARIMA model is described as an example of long-memory model in statistical terms. The paper explains basic limit theorems and estimation methods for long-memory processes in order to apply long-memory models to economic time series.

著者

西埜 晴久 千葉大学法経学部

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