長記憶性をもつ時系列における検定

元データ 2004-12-15

概要

The paper considers long-memory and fractional integration in economic time series. We classify time series by fractional integration and investigate testing problems. For example, the paper reviews tests to detect long-memory against short-memory process.

著者

西埜 晴久 千葉大学法経学部

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