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Strong Approximation for Long Memory Processes with Applications

✍ Scribed by Qiying Wang; Yan-Xia Lin; Chandra M. Gulati

Book ID
110438030
Publisher
Springer US
Year
2003
Tongue
English
Weight
273 KB
Volume
16
Category
Article
ISSN
0894-9840

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✍ Gopal K. Basak; Ngai Hang Chan; Wilfredo Palma πŸ“‚ Article πŸ“… 2001 πŸ› John Wiley and Sons 🌐 English βš– 196 KB

## Abstract A mean square error criterion is proposed in this paper to provide a systematic approach to approximate a long‐memory time series by a short‐memory ARMA(1, 1) process. Analytic expressions are derived to assess the effect of such an approximation. These results are established not only