Test and Application of Persistence Point of Long Memory Time Series

DOI

10.2991/bems-19.2019.1How to use a DOI?

Keywords

persistent variable point; a long memory; Hypothesis testing

Abstract

This paper presents two new simple statistic respectively to detect the long memory time series of the changes from smooth to non-stationary and persistence in smooth change from non-stationary variation point, two statistics under the null hypothesis is given the limits of the distribution, and proves that under the alternative hypothesis testing method. The consistency of the data simulation results show that the proposed method not only can good control inspection level, and has high potential test. At last, by a group of us inflation data to illustrate the practicability of this method.

Copyright

© 2019, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Jianqi Ma
PY  - 2019/05
DA  - 2019/05
TI  - Test and Application of Persistence Point of Long Memory Time Series
BT  - Proceedings of the 1st International Conference on Business, Economics, Management Science (BEMS 2019)
PB  - Atlantis Press
SP  - 1
EP  - 8
SN  - 2352-5428
UR  - https://doi.org/10.2991/bems-19.2019.1
DO  - 10.2991/bems-19.2019.1
ID  - Ma2019/05
ER  -