摘要
本文介绍了长记忆的概念 ,首次提出了一种与 ADF检验相结合的长记忆性判断方法。给出了将参数 d的初估计与近似极大似然估计相结合 ,将时间序列长记忆分析与短记忆分析相结合的建立ARFIMA模型的方法。论文进行了实证研究 。
In this paper, we provided the concept of long-memory.A diagnostic checking of long memory joined ADF test is given. We use the technology of combination of rough estimation and approximate maximum likelihood estimation of parameter d, and present the model that is capable of capturing the property with short-memory and long -memory. Finally, an real example is given to show the model is better than others.
出处
《数理统计与管理》
CSSCI
北大核心
2001年第1期1-6,11,共7页
Journal of Applied Statistics and Management
