Properties of Nonlinear Transformations of Fractionally Integrated Processes
| 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.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.identifier.uri | http://hdl.handle.net/2003/5030 | |
| dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-5480 | |
| 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 |