Full metadata record
DC Field | Value | Language |
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dc.contributor.author | Dittmann, Ingolf | de |
dc.contributor.author | Granger, Clive W. J. | de |
dc.date.accessioned | 2004-12-06T18:42:28Z | - |
dc.date.available | 2004-12-06T18:42:28Z | - |
dc.date.issued | 2000 | de |
dc.identifier.uri | http://hdl.handle.net/2003/5030 | - |
dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-5480 | - |
dc.description.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. | en |
dc.format.extent | 1321038 bytes | - |
dc.format.extent | 218139 bytes | - |
dc.format.mimetype | application/pdf | - |
dc.format.mimetype | application/postscript | - |
dc.language.iso | en | de |
dc.publisher | Universitätsbibliothek Dortmund | de |
dc.subject.ddc | 310 | de |
dc.title | Properties of Nonlinear Transformations of Fractionally Integrated Processes | en |
dc.type | Text | de |
dc.type.publicationtype | report | en |
dcterms.accessRights | open access | - |
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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