A multivariate generalized long memory model

Abdou Kâ Diongue

doi:10.1016/j.crma.2010.02.001

Statistics

A multivariate generalized long memory model
[Processus longue mémoire généralisés multivariés]

Présenté par : Paul Deheuvels

Abdou Kâ Diongue ¹

¹ LERSTAD, université Gaston-Berger, UFR SAT, BP 234, Saint-Louis, Senegal

Comptes Rendus. Mathématique, Volume 348 (2010) no. 5-6, pp. 327-330.

Résumé
Abstract

Dans cette Note, nous proposons une extension des processus longue mémoire multivariés VARFIMA permettant de modéliser à la fois la dépendence à mémoire courte, la saisonalité et la dependence à mémoire longue. Nous étudions quelques propriétés statistiques du modèle.

In this Note, we propose a new flexible multivariate long memory process which is a self-similar model with the ability to capture short-range dependence, seasonality and long-range dependence characteristics. Specifically, we extend the multivariate ARFIMA model proposed by Sowell (1989) [8], and investigate some of its statistical properties.

Reçu le : 2009-03-02
Accepté le : 2010-02-02
Publié le : 2010-03-01

DOI : 10.1016/j.crma.2010.02.001

Affiliations des auteurs :

Abdou Kâ Diongue ¹

¹ LERSTAD, université Gaston-Berger, UFR SAT, BP 234, Saint-Louis, Senegal

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     title = {A multivariate generalized long memory model},
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     pages = {327--330},
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     number = {5-6},
     year = {2010},
     doi = {10.1016/j.crma.2010.02.001},
     language = {en},
}

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Abdou Kâ Diongue. A multivariate generalized long memory model. Comptes Rendus. Mathématique, Volume 348 (2010) no. 5-6, pp. 327-330. doi : 10.1016/j.crma.2010.02.001. https://comptes-rendus.academie-sciences.fr/mathematique/articles/10.1016/j.crma.2010.02.001/

Bibliographie
Cité par

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[2] A.K. Diongue; D. Guégan; B. Vignal Forecasting electricity spot market prices with a k-factor GIGARCH process, Applied Energy, Volume 86 (2009), pp. 505-510

[3] M. Dueker; R. Startz Maximum likelihood estimation of fractionally cointegration with an application to U.S. and Canadian Bond Rates, Review of Economics and Statistics, Volume 80 (1998), pp. 420-426

[4] Y. Hosoya The quasi-maximum likelihood approach to statistical inference on multiple time series with long range dependence, Journal of Econometrics, Volume 71 (1996), pp. 217-236

[5] A. Luceño A fast likelihood approximation for vector general linear processes with long series: Application to fractional differencing, Biometrika, Volume 83 (1996) no. 3, pp. 603-614

[6] S.C. Norrbin; A.D. Smallwood Generalized long memory and mean reversion of the real exchange rate, Applied Economics (2008), pp. 1-10 (iFirst)

[7] M.K.P. So; S.W.Y. Kwok A multivariate long memory stochastic volatility model, Physica A, Volume 362 (2006), pp. 450-464

[8] F. Sowell, Maximum likelihood estimation of fractionally integrated time series models, Working Paper, Carnegie-Mellon University, 1989

[9] W.-J. Tsay, Maximum likelihood estimation of stationary multivariate ARFIMA processes, Journal of Statistical Computation and Simulation (2009), forthcoming

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