Proceedings of the 1st International Conference on Business, Economics, Management Science (BEMS 2019)

Test and Application of Persistence Point of Long Memory Time Series

Authors
Jianqi Ma
Corresponding Author
Jianqi Ma
Available Online May 2019.
DOI
https://doi.org/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.
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Proceedings
1st International Conference on Business, Economics, Management Science (BEMS 2019)
Part of series
Advances in Economics, Business and Management Research
Publication Date
May 2019
ISBN
978-94-6252-720-1
ISSN
2352-5428
DOI
https://doi.org/10.2991/bems-19.2019.1How to use a DOI?
Open Access
This is an open access article distributed under the CC BY-NC license.

Cite this article

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