메뉴 건너뛰기




Volumn 11, Issue 2, 2007, Pages 851-862

Detecting long-memory: Monte Carlo simulations and application to daily streamflow processes

Author keywords

[No Author keywords available]

Indexed keywords

ALGORITHM; DATA SET; FLOW PATTERN; HYDROLOGICAL MODELING; MAXIMUM LIKELIHOOD ANALYSIS; MONTE CARLO ANALYSIS; RIVER DISCHARGE; SIMULATION; STREAMFLOW;

EID: 33846859344     PISSN: 10275606     EISSN: 16077938     Source Type: Journal    
DOI: 10.5194/hess-11-851-2007     Document Type: Article
Times cited : (30)

References (32)
  • 1
    • 0000501656 scopus 로고
    • Information theory and an extension of the maximum likelihood principle
    • edited by: Petrov, B. N. and Csaki, R, Akademia Kiado, Budapest
    • Akaike, H.: Information theory and an extension of the maximum likelihood principle, in: Proceedings of the 2nd International Symposium, on Information Theory, edited by: Petrov, B. N. and Csaki, R, Akademia Kiado, Budapest, 267-281, 1973.
    • (1973) Proceedings of the 2nd International Symposium, on Information Theory , pp. 267-281
    • Akaike, H.1
  • 2
    • 84981461779 scopus 로고
    • Bias in an estimator of the fractional difference parameter
    • Agiakloglou, C., Newbold, P., and Wohar, M.: Bias in an estimator of the fractional difference parameter, J. Time Ser. Anal., 14, 235-246, 1993.
    • (1993) J. Time Ser. Anal , vol.14 , pp. 235-246
    • Agiakloglou, C.1    Newbold, P.2    Wohar, M.3
  • 3
    • 0001758906 scopus 로고
    • W, K.: Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
    • Andrews, D. W, K.: Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation, Econometrics, 59, 817-858, 1991.
    • (1991) Econometrics , vol.59 , pp. 817-858
    • Andrews, D.1
  • 5
    • 0001895030 scopus 로고
    • Trend in global temperature
    • Bloomfield, P.: Trend in global temperature, Clim. Change, 21, 1-16, 1992.
    • (1992) Clim. Change , vol.21 , pp. 1-16
    • Bloomfield, P.1
  • 6
    • 84986759400 scopus 로고
    • The estimation and application of long memory time series models
    • Geweke, J. and Porter-Hudak, S.: The estimation and application of long memory time series models, J. Time Series Anal., 4, 221-238, 1983.
    • (1983) J. Time Series Anal , vol.4 , pp. 221-238
    • Geweke, J.1    Porter-Hudak, S.2
  • 7
    • 0002882790 scopus 로고    scopus 로고
    • Rate optimal semiparametric estimation of the memory parameter of the Gaussian time series with long range dependence
    • Giraitis, L., Robinson, P. M., and Samarov, A.: Rate optimal semiparametric estimation of the memory parameter of the Gaussian time series with long range dependence, J. Time Ser. Anal., 18, 49-60, 1997.
    • (1997) J. Time Ser. Anal , vol.18 , pp. 49-60
    • Giraitis, L.1    Robinson, P.M.2    Samarov, A.3
  • 8
    • 84986792205 scopus 로고
    • An Introduction to Long-Memory Time Series Models and Fractional Differencing
    • Granger, C. W. J. and Joyeux, R.: An Introduction to Long-Memory Time Series Models and Fractional Differencing, J. Time Series Anal., 1, 15-29, 1980.
    • (1980) J. Time Series Anal , vol.1 , pp. 15-29
    • Granger, C.W.J.1    Joyeux, R.2
  • 9
    • 0001917942 scopus 로고
    • Space-time modeling with long-memory dependence: Assessing Ireland's wind power resource (with discussion)
    • Haslett, J. and Raftery, A. E.: Space-time modeling with long-memory dependence: assessing Ireland's wind power resource (with discussion), Appl. Stat., 38, 1-50, 1989.
    • (1989) Appl. Stat , vol.38 , pp. 1-50
    • Haslett, J.1    Raftery, A.E.2
  • 10
    • 0000532373 scopus 로고    scopus 로고
    • Robust automatic bandwidth for long-memory
    • Henry, M.: Robust automatic bandwidth for long-memory, J. Time Ser. Anal., 22(3), 293-316, 2001.
    • (2001) J. Time Ser. Anal , vol.22 , Issue.3 , pp. 293-316
    • Henry, M.1
  • 11
    • 77956890381 scopus 로고
    • Fractional Differencing
    • Hosking, J. R. M.: Fractional Differencing, Biometrika, 68, 165-176, 1981.
    • (1981) Biometrika , vol.68 , pp. 165-176
    • Hosking, J.R.M.1
  • 13
    • 0000739828 scopus 로고    scopus 로고
    • Plug-in Selection of the Number of Frequencies in Regression Estimates of the Memory Parameter of a Long-memory Time Series
    • Hurvich C. M. and Deo, R. S.: Plug-in Selection of the Number of Frequencies in Regression Estimates of the Memory Parameter of a Long-memory Time Series, J. Time Ser. Anal., 20(3), 331-341, 1999.
    • (1999) J. Time Ser. Anal , vol.20 , Issue.3 , pp. 331-341
    • Hurvich, C.M.1    Deo, R.S.2
  • 14
    • 84981426974 scopus 로고
    • Asymptotics for the low-frequency ordinales of the periodogram of a long-memory time series
    • Hurvich, C. M. and Bellrao, K.: Asymptotics for the low-frequency ordinales of the periodogram of a long-memory time series, J. Time Ser. Anal., 14,455-472, 1993.
    • (1993) J. Time Ser. Anal , vol.14 , pp. 455-472
    • Hurvich, C.M.1    Bellrao, K.2
  • 15
    • 0033061043 scopus 로고    scopus 로고
    • Fractional order estimation and testing, application to Swedish temperature data
    • Hussain, S. and Elbergali, A.: Fractional order estimation and testing, application to Swedish temperature data, Environmetrics, 10, 339-349, 1999.
    • (1999) Environmetrics , vol.10 , pp. 339-349
    • Hussain, S.1    Elbergali, A.2
  • 16
    • 6944226924 scopus 로고    scopus 로고
    • Long-range dependence: Ten years of internet traffic modeling
    • Karagiannis, T., Molle, M., and Faloutsos, M.: Long-range dependence: ten years of internet traffic modeling, IEEE Internet Computing, 8(5), 57-64, 2004.
    • (2004) IEEE Internet Computing , vol.8 , Issue.5 , pp. 57-64
    • Karagiannis, T.1    Molle, M.2    Faloutsos, M.3
  • 17
    • 0346966916 scopus 로고    scopus 로고
    • Evaluating maximum likelihood estimation methods to determine the Hurst coefficient
    • Kendziorskia, C. M., Bassingthwaighteb, J. B., and Tonellato, P. J.: Evaluating maximum likelihood estimation methods to determine the Hurst coefficient, Physica A, 273, 439-451, 1999.
    • (1999) Physica A , vol.273 , pp. 439-451
    • Kendziorskia, C.M.1    Bassingthwaighteb, J.B.2    Tonellato, P.J.3
  • 18
    • 0016092991 scopus 로고
    • The Hurst phenomenon: A Puzzle?
    • Klemes, V.: The Hurst phenomenon: A Puzzle?, Water Resour. Res., 10, 675-688, 1974.
    • (1974) Water Resour. Res , vol.10 , pp. 675-688
    • Klemes, V.1
  • 19
    • 0036677908 scopus 로고    scopus 로고
    • The Hurst phenomenon and fractional Gaussian noise made easy
    • Koutsoyiannis, D.: The Hurst phenomenon and fractional Gaussian noise made easy, Hydrol. Sci. J., 47(4), 573-595, 2002.
    • (2002) Hydrol. Sci. J , vol.47 , Issue.4 , pp. 573-595
    • Koutsoyiannis, D.1
  • 20
    • 0000140166 scopus 로고
    • Long-term memory in stock market prices
    • Lo, A. L.: Long-term memory in stock market prices, Econometrica, 59(5), 1279-1313, 1991.
    • (1991) Econometrica , vol.59 , Issue.5 , pp. 1279-1313
    • Lo, A.L.1
  • 21
    • 84944495957 scopus 로고
    • Computer experiments with fractional Gaussian noises. Part 1, 2 and 3
    • Mandelbrot, B. B. and Wallis, J. R.: Computer experiments with fractional Gaussian noises. Part 1, 2 and 3, Water Resour. Res., 5, 228-267, 1969.
    • (1969) Water Resour. Res , vol.5 , pp. 228-267
    • Mandelbrot, B.B.1    Wallis, J.R.2
  • 22
    • 0346936369 scopus 로고    scopus 로고
    • Evidence of long-memory in short-term interest rates
    • Meade, N. and Maier, M. R.: Evidence of long-memory in short-term interest rates, J. Forecast., 22, 553-568, 2003.
    • (2003) J. Forecast , vol.22 , pp. 553-568
    • Meade, N.1    Maier, M.R.2
  • 23
    • 0030616632 scopus 로고    scopus 로고
    • Fractionally differenced ARIMA models applied to hydrological time series: Identification, estimation, and simulation
    • Montanari, A., Rosso, R., and Taqqu, M. S.: Fractionally differenced ARIMA models applied to hydrological time series: Identification, estimation, and simulation, Water Resour. Res., 33(5), 1035-1044, 1997.
    • (1997) Water Resour. Res , vol.33 , Issue.5 , pp. 1035-1044
    • Montanari, A.1    Rosso, R.2    Taqqu, M.S.3
  • 24
    • 0034065536 scopus 로고    scopus 로고
    • A seasonal fractional ARIMA model applied to the Nile River monthly at Aswan
    • Montanari, A., Rosso, R., and Taqqu, M. S.: A seasonal fractional ARIMA model applied to the Nile River monthly at Aswan, Water Resour. Res., 36, 1249-1259, 2000.
    • (2000) Water Resour. Res , vol.36 , pp. 1249-1259
    • Montanari, A.1    Rosso, R.2    Taqqu, M.S.3
  • 25
    • 0034887305 scopus 로고    scopus 로고
    • A seasonal periodic long memory model for monthly river flows
    • Ooms, M. and Franses, P. H.: A seasonal periodic long memory model for monthly river flows, Environ. Modell. Software, 16, 559-569, 2001.
    • (2001) Environ. Modell. Software , vol.16 , pp. 559-569
    • Ooms, M.1    Franses, P.H.2
  • 26
    • 0142072357 scopus 로고    scopus 로고
    • Hypothesis testing for long-term memory in hydrological series
    • Rao, A. R. and Bhattacharya, D.: Hypothesis testing for long-term memory in hydrological series, J. Hydrol., 216(3-4), 183-196, 1999.
    • (1999) J. Hydrol , vol.216 , Issue.3-4 , pp. 183-196
    • Rao, A.R.1    Bhattacharya, D.2
  • 27
    • 33646439582 scopus 로고    scopus 로고
    • Long-term persistence in climate and the detection problem
    • doi:10.1029/2005GL025591
    • Rybski, D., Bunde, A., Havlin, S., and von Storch, H.: Long-term persistence in climate and the detection problem, Geophys. Res. Lett., 33, L06718, doi:10.1029/2005GL025591, 2006.
    • (2006) Geophys. Res. Lett , vol.33
    • Rybski, D.1    Bunde, A.2    Havlin, S.3    von Storch, H.4
  • 28
    • 44049120475 scopus 로고
    • Modeling Long-Run Behavior with the Fractional ARIMA Model
    • Sowell, R: Modeling Long-Run Behavior with the Fractional ARIMA Model, J. Monetary Economics, 29, 277-302, 1992.
    • (1992) J. Monetary Economics , vol.29 , pp. 277-302
    • Sowell, R.1
  • 30
    • 85039196565 scopus 로고    scopus 로고
    • Wang, W., van Gelder, P. H. A. J. M., and Vrijling, J. K.: Long-memory properties of streamflow processes of the Yellow River. Proceedings of the International Conference on Water Economics, Statistics and Finance, 1, Rethymno-Crete, Greece, 481-490, 8-10 July, 2005,.
    • Wang, W., van Gelder, P. H. A. J. M., and Vrijling, J. K.: Long-memory properties of streamflow processes of the Yellow River. Proceedings of the International Conference on Water Economics, Statistics and Finance, 1, Rethymno-Crete, Greece, 481-490, 8-10 July, 2005,.
  • 31
    • 33646547633 scopus 로고    scopus 로고
    • Forecasting daily streamflow using hybrid ANN models
    • Wang, W., van Gelder, P. H. A. J. M., Vrijling, J. K., Ma, J.: Forecasting daily streamflow using hybrid ANN models, J. Hydrol., 324, 383-399, 2006.
    • (2006) J. Hydrol , vol.324 , pp. 383-399
    • Wang, W.1    van Gelder, P.H.A.J.M.2    Vrijling, J.K.3    Ma, J.4


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.