Estimating long-range dependence in the presence of periodicity: An empirical study

Mathematical and Computer Modelling

Volumn 29, Issue 10-12, 1999, Pages 217-228

  Montanari, A ^a   Taqqu, M S ^b   Teverovsky, V ^b  

^a POLITECNICO DI MILANO   (Italy)

^b Boston University   (United States)

Author keywords

Fractional ARIMA; Hurst parameter; Long memory; Self similarity

Indexed keywords

EID: 0033133964     PISSN: 08957177     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0895-7177(99)00104-1     Document Type: Article

References (24)

1. 1. H.E. Hurst, Long-term storage capacity of reservoirs, Trans. Am. Soc. Civil Engineers 116, 770-799, (1951).
2. 2. A.J. Lawrence and N.T. Kottegoda, Stochastic modelling of riverflow time series (with discussion), J. Royal Statist. Soc. A 140, 1-47, (1977).
3. 3. J. Haslett and A.E. Raftery, Space-time modelling with long-range dependence: Assessing Ireland's wind power resource. Invited paper with discussion, J. Appl. Statist. 38, 1-50, (1989).
4. 4. A. Montanari, R. Rosso and M.S. Taqqu, A seasonal fractionally differenced ARIMA model: An application to the Nile River monthly flows at Aswan, (Preprint) (1995).
5. 5. A. Montanari, R. Rosso and M.S. Taqqu, Some long-run properties of rainfall records in Italy, Journal of Geophysical Research - Atmospheres 101, 431-438, (1996).
6. 6. A. Montanari, R. Rosso and M.S. Taqqu, Fractionally differenced ARIMA models applied to hydrologic time series: Identification, estimation and simulation, Water Resources Research 33, 1035-1044, (1997).
7. 7. C.W.J. Granger and P. Newbold, Forecasting Economic Time Series, Academic Press, New York.
8. 8. R.T. Baillie, Long memory processes and fractional integration in econometrics, Journal of Econometrics 73, 5-59, (1996).
9. 9. C.W.J. Granger and Z. Ding, Modeling volatility persistence of speculative returns: A new approach, Journal of Econometrics 73, 185-215, (1996).
10. 10. J. Beran, R. Sherman, M.S. Taqqu and W. Willinger, Long-range dependence in variable-bit-rate video traffic, IEEE Transactions on Communications 43, 1566-1579, (1995).
11. 11. W. Willinger, M.S. Taqqu, W.E. Leland and D.V. Wilson, Self similarity in high-speed packet traffic: Analysis and modeling of ethernet traffic measurements, Statistical Sciences 10, 67-85, (1995).
12. 12. M.S. Taqqu, V. Teverovsky and W. Willinger, Estimators for long-range dependence: An empirical study, Fractals 3 (4), 785-798, (1995).
13. 13. V. Klemes, The Hurst phenomenon - A puzzle?, Water Resour. Res. 10, 675-688, (1974).
14. 14. V. Teverovsky and M.S. Taqqu, Testing for long-range dependence in the presence of shifting means or a slowly declining trend using a variance type estimator, The Journal of Time Series Analysis 18, 279-304, (1997).
15. 15. G.E.P. Box and G.M. Jenkins, Time Series Analysis: Forecasting and Control, Revised Edition, Holden Day, San Francisco, CA, (1976).
16. 16. P.J. Brockwell and R.A. Davis, Time Series: Theory and Method, Springer-Verlag, New York, (1987).
17. 17. J. Beran, Statistics for Long-Memory Processes, Chapman & Hall, New York, (1994).
18. 18. M.S. Taqqu and V. Teverovsky, Robustness of Whittle type estimators for time series with long-range dependence, Stochastic Models 13, 723-757, (1997).
19. 19. J. Beran, A test of location for data with a slowly decaying serial correlations, Biometrika 76, 261-269, (1989).
20. 20. T. Higuchi, Approach to an irregular time series on the basis of the fractal theory, Physica D 31, 277-283, (1988).
21. 21. C.K. Peng, S.V. Buldyrev, M. Simons, H.E. Stanley and A.L. Goldberger, Mosaic organisations of DNA nucleotides, Physical Review E 49, 1685-1689, (1994).
22. 22. B.B Mandelbrot, Limit theorem of the self-normalized range for weakly and strongly dependent processes, Z. Wahr. verw. Geb. 31, 271-285, (1975).
23. 23. G. Samorodnitsky and M.S. Taqqu, Stable Non-Gaussian Random Processes, Stochastic Models with Infinite Variance, Chapman & Hall, New York, (1994).
24. 24. P.M. Robinson, Gaussian semi-parametric estimation of long-range dependence, The Annals of Statistics 23, 1630-1661, (1995).