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Modelling long-range dependence and trends in duration series: an approach based on EFARIMA and ESEMIFAR models

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2015

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Ghosh, Sucharita

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https://doi.org/10.1007/s00362-014-0590-x
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Statistical Papers. 2015, 56(2), pp. 431-451. ISSN 0932-5026. eISSN 1613-9798. Available under: doi: 10.1007/s00362-014-0590-x

Zusammenfassung

Duration series often exhibit long-range dependence and local nonstationarities. Here, exponential FARIMA (EFARIMA) and exponential SEMIFAR (ESEMIFAR) models are introduced. These models capture simultaneously nonstationarities in the mean as well as short- and long-range dependence, while avoiding the complication of unobservable latent processes. The models can be thought of as locally stationary long-memory extensions of exponential ACD models. Statistical properties of the models are derived. In particular the long-memory parameter in the original and the log-transformed process is the same. For Gaussian innovations, exact explicit formulas for all moments and autocovariances are given, and the unconditional distribution is log-normal. Estimation and model selection can be carried out with standard software. The approach is illustrated by an application to average daily transaction durations.

Zusammenfassung in einer weiteren Sprache

Fachgebiet (DDC)
510 Mathematik

Schlagwörter

Long-memory MEM model, Exponential FARIMA, Exponential ACD, Exponential SEMIFAR Nonparametric scale function Average durations

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ISO 690BERAN, Jan, Yuanhua FENG, Sucharita GHOSH, 2015. Modelling long-range dependence and trends in duration series: an approach based on EFARIMA and ESEMIFAR models. In: Statistical Papers. 2015, 56(2), pp. 431-451. ISSN 0932-5026. eISSN 1613-9798. Available under: doi: 10.1007/s00362-014-0590-x
BibTex
@article{Beran2015Model-29162,
  year={2015},
  doi={10.1007/s00362-014-0590-x},
  title={Modelling long-range dependence and trends in duration series: an approach based on EFARIMA and ESEMIFAR models},
  number={2},
  volume={56},
  issn={0932-5026},
  journal={Statistical Papers},
  pages={431--451},
  author={Beran, Jan and Feng, Yuanhua and Ghosh, Sucharita}
}
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