如何定义长记忆概念?一项计量经济学综述

How can we Define the Concept of Long Memory? An Econometric Survey

Econometric Reviews · 2005
被引 101 · 同刊同年前 6%
人大 A-ABS 3

中文导读

讨论了长记忆行为的不同方面及适用的参数模型,并解释了当经验自相关函数以双曲方式衰减时可能产生的混淆。

Abstract

Abstract In this paper we discuss different aspects of long memory behavior and applicable parametric models. We discuss the confusion that can arise when the empirical autocorrelation function decreases in a hyperbolic way.

长记忆参数模型自相关函数双曲衰减