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Long memory and stochastic trend

โœ Scribed by Remigijus Leipus; Marie-Claude Viano

Book ID
104302018
Publisher
Elsevier Science
Year
2003
Tongue
English
Weight
192 KB
Volume
61
Category
Article
ISSN
0167-7152

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โœฆ Synopsis

In this paper, we study a general stochastic trend model and provide conditions on the partial sums which imply the convergence of the V=S statistic. These conditions generalize those in Giraitis et al. (J. Appl. Probab. 38 (2001) 1033) obtained in the case of deterministic trend model. As a particular example of stochastic trend we study a regime switching process called mixture model. We prove that in the non-trivial cases the partial sums converge to a compound Poisson process whereas in "degenerated" cases it resembles the behavior of the I (d -1) process.

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