Assembles three different strands of long memory analysis: statistical literature on the properties of, and tests for, LRD processes; mathematical literature on the stochastic processes involved; and models from economic theory providing plausible micro foundations for the occurrence of long memory in economics.
Assembles three different strands of long memory analysis: statistical literature on the properties of, and tests for, LRD processes; mathematical lit...
When applying the statistical theory of long range dependent (LRD) processes to economics, the complexity of macroeconomic and financial variables, compared to standard LRD processes, becomes apparent. To gain an understanding of the behaviour of economic variables, this book assembles three strands of long memory analysis.
When applying the statistical theory of long range dependent (LRD) processes to economics, the complexity of macroeconomic and financial variables, co...
