LONG-MEMORY

作品数：7被引量：10H指数：2
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相关领域：经济管理更多>>
相关机构：中国地质大学（北京）更多>>
相关期刊：《Chinese Physics B》《Financial Innovation》《Open Journal of Statistics》《Journal of Systems Science & Complexity》更多>>
相关基金：国家自然科学基金更多>>
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Modelling the dynamics of stock market in the gulf cooperation council countries:evidence on persistence to shocks
《Financial Innovation》2022年第1期1252-1273,共22页Heni Boubaker Bassem Saidane Mouna Ben Saad Zorgati 
This study examines the statistical properties required to model the dynamics of both the returns and volatility series of the daily stock market returns in six Gulf Cooperation Council countries,namely Bahrain,Oman,K...
关键词：LONG-MEMORY Volatility process Asymmetric power SEASONALITY Forecast performance Stock market 
Monitoring Mean and Variance Change-Points in Long-Memory Time Series被引量：2
《Journal of Systems Science & Complexity》2022年第3期1009-1029,共21页CHEN Zhanshou LI Fuxiao ZHU Li XING Yuhong 
supported by the National Natural Science Foundation of China under Grant Nos.11661067,11801438,71661028,61966030;the Natural Science Foundation of Qinghai Province under Grant No.2019-ZJ-920。
This paper proposes two ratio-type statistics to sequentially detect mean and variance change-points in the long-memory time series.The limiting distributions of monitoring statistics under the no change-point null hy...
关键词：Change-point monitoring long-memory time series ratio-type statistic sieve bootstrap 
Modeling Seasonal Fractionally Integrated Autoregressive Moving Average-Generalized Autoregressive Conditional Heteroscedasticity Model with Seasonal Level Shift Intervention
《Open Journal of Statistics》2020年第5期810-831,共22页Lawrence Dhliwayo Florance Matarise Charles Chimedza 
This paper introduces the class of seasonal fractionally integrated autoregressive moving average-...
关键词：SEASONALITY Fractional Integration LONG-MEMORY Level Shift SLS-SARFIMA SLS-GARCH VOLATILITY 
Autoregressive Fractionally Integrated Moving Average-Generalized Autoregressive Conditional Heteroskedasticity Model with Level Shift Intervention被引量：1
《Open Journal of Statistics》2020年第2期341-362,共22页Lawrence Dhliwayo Florance Matarise Charles Chimedza 
In this paper, we introduce the class of autoregressive fractionally integrated moving average-generalized autoregressive conditional heteroskedasticity?(ARFIMA-GARCH) models with level shift type intervention that ar...
关键词：Fractional Differencing LONG-MEMORY HETEROSCEDASTICITY VOLATILITY Level SHIFT 
Long-Memory and Spurious Breaks in Ecological Experiments
《Open Journal of Statistics》2017年第5期768-779,共12页Thomas R. Boucher 
The impact of long-memory on the Before-After-Control-Impact (BACI) design and a commonly used nonparametric alternative, Randomized Intervention Analysis (RIA), is examined. It is shown the corrections used based on ...
关键词：BACI LONG-MEMORY RIA Short-Memory Variance CORRECTIONS 
Chaos game representation walk model for the protein sequences被引量：3
《Chinese Physics B》2009年第10期4571-4579,共9页高洁 蒋丽丽 徐振源 
Project supported by the National Natural Science Foundation of China (Grant No 60575038);the Natural Science Foundation of Jiangnan University, China (Grant No 20070365);the Program for Innovative Research Team of Jiangnan University, China
A new chaos game representation of protein sequences based on the detailed hydrophobic-hydrophilic （HP） model has been proposed by Yu et al （Physica A 337（2004） 171）. A CGR-walk model is proposed based on the ne...
关键词：chaos game representation CGR-walk model protein sequence long-memory ARFIMA（p d q） model autocorrelation function 
Chaos game representation(CGR)-walk model for DNA sequences被引量：4
《Chinese Physics B》2009年第1期370-376,共7页高洁 徐振源 
Project supported by the National Natural Science Foundation of China (Grant No 60575038);the Natural Science Foundation of Jiangnan University,China (Grant No 20070365)
Chaos game representation （CGR） is an iterative mapping technique that processes sequences of units, such as nucleotides in a DNA sequence or amino acids in a protein, in order to determine the coordinates of their ...
关键词：CGR-walk model DNA sequence LONG-MEMORY ARFIMA（p d q） model 
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