Can we distinguish regime switching from long memory? : a simulation evidence
Year of publication: |
2015
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Authors: | Shi, Yanlin |
Published in: |
Applied economics letters. - Abingdon : Routledge, ISSN 1350-4851, ZDB-ID 1181036-1. - Vol. 22.2015, 4/6, p. 318-323
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Subject: | long memory | regime switching | ARFIMA | Markov regime-switching | Markov-Kette | Markov chain | ARMA-Modell | ARMA model | Zeitreihenanalyse | Time series analysis | Simulation |
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