-
1
-
-
85048940644
-
Long memory analysis of USD/trial exchange rate
-
Alptekin, N.: Long memory analysis of USD/trial exchange rate, Int. J. Soc. Sci., 1, 111-112, 2006.
-
(2006)
Int. J. Soc. Sci.
, vol.1
, pp. 111-112
-
-
Alptekin, N.1
-
2
-
-
33645015342
-
On discriminating between long-range dependence and changes in mean
-
DOI 10.1214/009053606000000254
-
Berkes, I., Horvath, L., Kokoszka, P., and Shao, Q.: On discriminating between long-range dependence and changes in mean, Ann. Stat., 34, 1140-1165, 2006. (Pubitemid 44231159)
-
(2006)
Annals of Statistics
, vol.34
, Issue.3
, pp. 1140-1165
-
-
Berkes, I.1
Horvath, L.2
Kokoszka, P.3
Shao, Q.I.-M.4
-
3
-
-
2042466546
-
Detecting non stationarity in extreme rainfall data observed in Northern Italy
-
Brath, A., Castellarin, A., and Montanari, A.: Detecting non stationarity in extreme rainfall data observed in Northern Italy, in: Proceedings of EGS - Plinius Conference on Mediterranean Storms, Maratea, 219-231, 1999.
-
(1999)
Proceedings of EGS - Plinius Conference on Mediterranean Storms, Maratea
, pp. 219-231
-
-
Brath, A.1
Castellarin, A.2
Montanari, A.3
-
4
-
-
84884964664
-
Long-run and Cyclical Dynamics in the US Stock Market
-
ISSN: 1605-7996
-
Caporale, G. M. and Gil-Alana, L. A.: Long-run and Cyclical Dynamics in the US Stock Market, Economics Series, 155, 1-29, ISSN: 1605-7996, 2004.
-
(2004)
Economics Series
, vol.155
, pp. 1-29
-
-
Caporale, G.M.1
Gil-Alana, L.A.2
-
6
-
-
84981440328
-
Tests for fractional integration: A Monte Carlo investigation
-
Cheung, Y. W.: Tests for fractional integration: a Monte Carlo investigation, J. Time Ser. Anal., 14, 331-345, 1993.
-
(1993)
J. Time Ser. Anal.
, vol.14
, pp. 331-345
-
-
Cheung, Y.W.1
-
7
-
-
0001418135
-
Long memory and regime switching
-
DOI 10.1016/S0304-4076(01)00073-2, PII S0304407601000732
-
Diebold, F. X. and Inoue, A.: Long memory and regime switching, J. Econ., 105, 131-159, 2001. (Pubitemid 33645289)
-
(2001)
Journal of Econometrics
, vol.105
, Issue.1
, pp. 131-159
-
-
Diebold, F.X.1
Inoue, A.2
-
8
-
-
84859856293
-
-
The Federal Reserve Bank of St. Louis, Working Paper 1995-003A, available at: (last access: 28 September 2012)
-
Dueker, M. J. and Asea, P. K.: Non-Monotonic Long Memory Dynamics in Black-Market Exchange Rates, The Federal Reserve Bank of St. Louis, Working Paper 1995-003A, available at: http://research.stlouisfed.org/wp/1995/95-003.pdf (last access: 28 September 2012), 1-24, 1995.
-
(1995)
Non-Monotonic Long Memory Dynamics in Black-Market Exchange Rates
, pp. 1-24
-
-
Dueker, M.J.1
Asea, P.K.2
-
9
-
-
34547159346
-
The use of cumulative sums for detection of change points in the rate parameter of a Poisson Process
-
Galeano, P.: The use of cumulative sums for detection of change points in the rate parameter of a Poisson Process, Journal Computational Statistics & Data Analysis archive, 51, 6151-6165, 2007.
-
(2007)
Journal Computational Statistics & Data Analysis Archive
, vol.51
, pp. 6151-6165
-
-
Galeano, P.1
-
10
-
-
84986759400
-
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 Ser. Anal., 4, 221-237, 1983.
-
(1983)
J. Time Ser. Anal.
, vol.4
, pp. 221-237
-
-
Geweke, J.1
Porter-Hudak, S.2
-
11
-
-
84884969136
-
Persistence and Time Trends in the Temperatures in Spain
-
doi:10.1155/2009/415290
-
Gil-Alana, L. A.: Persistence and Time Trends in the Temperatures in Spain, Adv. Meteorol., 2009, 415290, doi:10.1155/2009/415290, 2009.
-
(2009)
Adv. Meteorol.
, vol.2009
, pp. 415290
-
-
Gil-Alana, L.A.1
-
12
-
-
84872130952
-
U.K. Rainfall Data: A Long-Term Persistence Approach
-
Gil-Alana, L. A.: U.K. Rainfall Data: A Long-Term Persistence Approach, J. Appl. Meteorol. Clim., 51, 1904-1913, 2012.
-
(2012)
J. Appl. Meteorol. Clim.
, vol.51
, pp. 1904-1913
-
-
Gil-Alana, L.A.1
-
13
-
-
0002626689
-
Varieties of long memory models
-
DOI 10.1016/0304-4076(95)01733-X
-
Granger, C. W. J. and Ding, Z.: Varieties of long memory models, J. Econometrics, 73, 61-77, 1996. (Pubitemid 126373956)
-
(1996)
Journal of Econometrics
, vol.73
, Issue.1
, pp. 61-77
-
-
Granger, C.W.J.1
Ding, Z.2
-
14
-
-
1942444547
-
Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns
-
Granger, C. W. J. and Hyung, N.: Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns, J. Empir. Financ., 11, 213-228, 2004.
-
(2004)
J. Empir. Financ.
, vol.11
, pp. 213-228
-
-
Granger, C.W.J.1
Hyung, N.2
-
15
-
-
84986792205
-
An introduction to long-range time series models and fractional differencing
-
Granger, C. W. J. and Joyeux, R.: An introduction to long-range time series models and fractional differencing, J. Time Ser. Anal., 1, 15-30, 1980.
-
(1980)
J. Time Ser. Anal.
, vol.1
, pp. 15-30
-
-
Granger, C.W.J.1
Joyeux, R.2
-
16
-
-
77956890381
-
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
-
17
-
-
0021638982
-
Modeling persistence in hydrological time series using fractional differencing
-
doi:10.1029/WR020i012p01898
-
Hosking, J. R. M.: Modeling persistence in hydrological time series using fractional differencing, Water Resour. Res., 20, 1898-1908, doi:10.1029/WR020i012p01898, 1984.
-
(1984)
Water Resour. Res.
, vol.20
, pp. 1898-1908
-
-
Hosking, J.R.M.1
-
18
-
-
84871246776
-
Long term storage capacities of reservoirs
-
Hurst, H. E.: Long term storage capacities of reservoirs, Trans. Am. Soc. Civ. Eng., 116, 776-808, 1951.
-
(1951)
Trans. Am. Soc. Civ. Eng.
, vol.116
, pp. 776-808
-
-
Hurst, H.E.1
-
19
-
-
84886592946
-
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., 3, 1-3, 1998.
-
(1998)
J. Time Ser. Anal.
, vol.3
, pp. 1-3
-
-
Hurvich, C.M.1
Deo, R.S.2
-
20
-
-
0003856164
-
-
2nd Edn., Springer-Verlag, Heidelberg
-
Janssen, J. and Laatz, W.: Statistische Datenanalyse mit SPSS fur Windows, 2nd Edn., Springer-Verlag, Heidelberg, 636 pp., 1997.
-
(1997)
Statistische Datenanalyse Mit SPSS fur Windows
, pp. 636
-
-
Janssen, J.1
Laatz, W.2
-
21
-
-
33144465090
-
Long-term persistence and multifractality of river runoff records: Detrended fluctuation studies
-
Koscielny-Bunde, E., Kantelhardt, J. W., Braun, P., Bunde, A., and Havlin, S.: Long-term persistence and multifractality of river runoff records: Detrended fluctuation studies, J. Hydrol., 322, 120-137, 2006.
-
(2006)
J. Hydrol.
, vol.322
, pp. 120-137
-
-
Koscielny-Bunde, E.1
Kantelhardt, J.W.2
Braun, P.3
Bunde, A.4
Havlin, S.5
-
22
-
-
0036677908
-
The Hurst phenomenon and fractional Gaussian noise made easy
-
Koutsoyiannis, D.: The Hurst phenomenon and fractional Gaussian noise made easy, Hydrolog. Sci. J., 47, 573-595, 2002.
-
(2002)
Hydrolog. Sci. J.
, vol.47
, pp. 573-595
-
-
Koutsoyiannis, D.1
-
23
-
-
0037324173
-
Climate change, the Hurst phenomenon, and hydrological statistics
-
Koutsoyiannis, D.: Climate change, the Hurst phenomenon, and hydrological statistics, Hydrolog. Sci. J., 48, 3-24, 2003.
-
(2003)
Hydrolog. Sci. J.
, vol.48
, pp. 3-24
-
-
Koutsoyiannis, D.1
-
24
-
-
20844452381
-
Uncertainty, entropy, scaling and hydrological stochastics, 1, Marginal distributional properties of hydrological processes and state scaling
-
Koutsoyiannis, D.: Uncertainty, entropy, scaling and hydrological stochastics, 1, Marginal distributional properties of hydrological processes and state scaling, Hydrolog. Sci. J., 50, 381-404, 2005a.
-
(2005)
Hydrolog. Sci. J.
, vol.50
, pp. 381-404
-
-
Koutsoyiannis, D.1
-
25
-
-
20844442113
-
Uncertainty, entropy, scaling and hydrological stochastics, 2, Time dependence of hydrological processes and time scaling
-
Koutsoyiannis, D.: Uncertainty, entropy, scaling and hydrological stochastics, 2, Time dependence of hydrological processes and time scaling, Hydrolog. Sci. J., 50, 405-426, 2005b.
-
(2005)
Hydrolog. Sci. J.
, vol.50
, pp. 405-426
-
-
Koutsoyiannis, D.1
-
26
-
-
33646727348
-
Nonstationarity versus scaling in hydrology
-
Koutsoyiannis, D.: Nonstationarity versus scaling in hydrology, J. Hydrol., 324, 239-254, 2006.
-
(2006)
J. Hydrol.
, vol.324
, pp. 239-254
-
-
Koutsoyiannis, D.1
-
27
-
-
33646489033
-
A stochastic methodology for generation of seasonal time series reproducing overyear scaling behaviour
-
Langousis, A. and Koutsoyiannis, D.: A stochastic methodology for generation of seasonal time series reproducing overyear scaling behaviour, J. Hydrol., 322, 138-154, 2006.
-
(2006)
J. Hydrol.
, vol.322
, pp. 138-154
-
-
Langousis, A.1
Koutsoyiannis, D.2
-
28
-
-
84884923872
-
A Preliminary Assessment of Characteristics and Long-term Rainfall Variability of Rainfall in Ethiopia- Basis for Sustainable Land Use and Resources Management
-
available at: (last access: 30 October 2012)
-
Mahdi, O. and Petra, S.: A Preliminary Assessment of Characteristics and Long-term Rainfall Variability of Rainfall in Ethiopia- Basis for Sustainable Land Use and Resources Management, Conference on International Agricultural Research for Development, Witzenhausen, 9-11 October, available at: http://www. tropentag.de/2002/abstracts/full/11.pdf (last access: 30 October 2012), 2002.
-
(2002)
Conference on International Agricultural Research for Development, Witzenhausen, 9-11 October
-
-
Mahdi, O.1
Petra, S.2
-
29
-
-
0030616632
-
Fractionally differenced ARIMA models applied to hydrologic time series: Identification, estimation, and simulation
-
doi:10.1029/97WR00043
-
Montanari, A., Rosso, R., and Taqqu, M. S.: Fractionally differenced ARIMA models applied to hydrologic time series: Identification, estimation, and simulation,Water Resour. Res., 33, 1035-1044, doi:10.1029/97WR00043, 1997.
-
(1997)
Water Resour. Res.
, vol.33
, pp. 1035-1044
-
-
Montanari, A.1
Rosso, R.2
Taqqu, M.S.3
-
30
-
-
33847669689
-
Long memory of rivers from spatial aggregation
-
doi:10.1029/2006WR005721
-
Mudelsee, M.: Long memory of rivers from spatial aggregation, Water Resour. Res., 43, W01202, doi:10.1029/2006WR005721, 2007.
-
(2007)
Water Resour. Res.
, vol.43
-
-
Mudelsee, M.1
-
31
-
-
0000173572
-
The CUSUM test with OLS residuals
-
Ploberger, W. and Kramer, W.: The CUSUM test with OLS residuals, Econometrica, 60, 271-285, 1992.
-
(1992)
Econometrica
, vol.60
, pp. 271-285
-
-
Ploberger, W.1
Kramer, W.2
-
32
-
-
0142072357
-
Hypothesis testing for long-term memory in hydrologic series
-
DOI 10.1016/S0022-1694(99)00005-0, PII S0022169499000050
-
Rao, A. R. and Bhattacharya, D.: Hypothesis testing for long-term memory in hydrological series, J. Hydrol., 216, 183-196, 1999. (Pubitemid 29141610)
-
(1999)
Journal of Hydrology
, vol.216
, Issue.3-4
, pp. 183-196
-
-
Rao, A.R.1
Bhattacharya, D.2
-
33
-
-
85086228380
-
A New Procedure for Discriminating Between Long Memory and Shifting Means Alternatives
-
available at: (last access: 22 January 2013)
-
Rea, W., Oxley, L., and Reale, M.: A New Procedure for Discriminating Between Long Memory and Shifting Means Alternatives, 18th World IMACS/MODSIM Congress, Cairns, Australia 13-17 July 2009, available at: http://mssanz.org.au/ modsim09 (last access: 22 January 2013), 2009.
-
(2009)
18th World IMACS/MODSIM Congress, Cairns, Australia 13-17 July 2009
-
-
Rea, W.1
Oxley, L.2
Reale, M.3
-
34
-
-
33646439582
-
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
-
35
-
-
80053922177
-
A simple test of changes in mean in the possible presence of long-range dependence
-
Shao, X.: A simple test of changes in mean in the possible presence of long-range dependence, J. Time Ser. Anal., 32, 598-606, 2011.
-
(2011)
J. Time Ser. Anal.
, vol.32
, pp. 598-606
-
-
Shao, X.1
-
36
-
-
78649415337
-
Testing for Change Points in Time Series
-
doi:10.1198/jasa.2010.tm10103
-
Shao, X. and Zhang, X.: Testing for Change Points in Time Series, J. Am. Stat. Assoc., 105, 1228-1240, doi:10.1198/jasa.2010.tm10103, 2010.
-
(2010)
J. Am. Stat. Assoc.
, vol.105
, pp. 1228-1240
-
-
Shao, X.1
Zhang, X.2
-
38
-
-
22544462258
-
Level shifts and the illusion of long memory in economic time series
-
Smith, A. D.: Level shifts and the illusion of long memory in economic time series, J. Bus. Econ. Stat., 23, 321-335, 2005.
-
(2005)
J. Bus. Econ. Stat.
, vol.23
, pp. 321-335
-
-
Smith, A.D.1
-
39
-
-
77957681761
-
Fitting the statistical distribution for daily rainfall in peninsular Malaysia based on AIC criterion
-
Suhaila, J. and Abdul Aziz, J.: Fitting the statistical distribution for daily rainfall in peninsular Malaysia based on AIC criterion, J. Appl. Sci. Res., 4, 1846-1857, 2008.
-
(2008)
J. Appl. Sci. Res.
, vol.4
, pp. 1846-1857
-
-
Suhaila, J.1
Abdul Aziz, J.2
-
40
-
-
84884955595
-
-
BWI-paper, Free University of Amsterdam, available at: (last access: 1 December 2012)
-
Van Beusekom, D. P.: Forecasting & Detrending of Time Series Models, BWI-paper, Free University of Amsterdam, available at: www.few.vu.nl/nl/Images/ werkstuk-beusekom tcm38-91323. doc (last access: 1 December 2012), 2003.
-
(2003)
Forecasting & Detrending of Time Series Models
-
-
Van Beusekom, D.P.1
-
41
-
-
80052153120
-
Long memory properties of streamflow processes of the Yellow River
-
8-10 July
-
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.
-
(2005)
Proceedings of the International Conference on Water Economics, Statistics and Finance, 1, Rethymno-Crete, Greece
, pp. 481-490
-
-
Wang, W.1
Van Gelder, P.H.A.J.M.2
Vrijling, J.K.3
-
42
-
-
33846859344
-
Detecting long-memory: Monte Carlo simulations and application to daily streamflow processes
-
Wang, W., Van Gelder, P. H. A. J. M., Vrijling, J. K., and Chen, X.: Detecting long-memory: Monte Carlo simulations and application to daily streamflow processes, Hydrol. Earth Syst. Sci., 11, 851-862, doi:10.5194/hess-11-851-2007, 2007. (Pubitemid 46226149)
-
(2007)
Hydrology and Earth System Sciences
, vol.11
, Issue.2
, pp. 851-862
-
-
Wang, W.1
Van Gelder, P.H.A.J.M.2
Vrijling, J.K.3
Chen, X.4
|