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存在水平变化与确定性趋势时的记忆参数估计AI 解读

We propose estimators of the memory parameter of a time series that are robust to a wide variety of random level shift processes, deterministic level shifts, and deterministic time trends. The estimators are simple trimmed versions of the popular log-periodogram regression estimator that employ certain sample-size-dependent and, in some cases, data-dependent trimmings that discard low-frequency components. We also show that a previously developed trimmed local Whittle…

股票市场收益指数波动率的长记忆与水平突变AI 解读

There has been interest in the possibility of confusing long memory and structural changes in level, and studies showed that when a short-memory process is contaminated by level shifts the estimate of the fractional differencing parameter is biased upward and the autocovariances decay slowly. We analyze the properties of the autocorrelation function, the periodogram, and the log periodogram estimate of the memory parameter when the level shift component is a mixture model.…

方差比检验：连续时间渐近框架下的尺寸与功效分析AI 解读

We consider the statistical properties of the variance ratio statistic in the context of testing for market efficiency defined by uncorrelated returns. The statistic is then the ratio of the variance of K-period returns to the variance of one-period returns scaled by K. We use a continuous-time asymptotic framework whereby we let the sample size increase to infinity keeping the span of the data fixed. We also let the aggregation parameter K increase such that K/T → κ as T,…