Authors: | Dittmann, Ingolf Granger, Clive W. J. |
Title: | Properties of Nonlinear Transformations of Fractionally Integrated Processes |
Language (ISO): | en |
Abstract: | This paper shows that the properties of nonlinear transformations of a fractionally integrated process depend strongly on whether the initial series is stationary or not. Transforming a stationary Gaussian I(d) process with d > 0 leads to a long-memory process with the same or a smaller long-memory parameter depending on the Hermite rank of the transformation. Any nonlinear transformation of an antipersistent Gaussian I(d) process is I(0). For non-stationary I(d) processes, every integer power transformation is non-stationary and exhibits a deterministic trend in mean and in variance. In particular, the square of a non-stationary Gaussian I(d) process still has long memory with parameter d, whereas the square of a stationary Gaussian I(d) process shows less dependence than the initial process. Simulation results for other transformations are also discussed. |
URI: | http://hdl.handle.net/2003/5030 http://dx.doi.org/10.17877/DE290R-5480 |
Issue Date: | 2000 |
Provenance: | Universitätsbibliothek Dortmund |
Appears in Collections: | Sonderforschungsbereich (SFB) 475 |
Files in This Item:
File | Description | Size | Format | |
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2000_25.pdf | DNB | 213.03 kB | Adobe PDF | View/Open |
tr25-00.ps | 1.29 MB | Postscript | View/Open |
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