Cyclical Long Memory: Decoupling, Modulation, and Modeling
周期性长记忆:解耦、调制与建模
A new model for general cyclical long memory is introduced, by means of random modulation of certain bivariate long memory time series. This construction essentially decouples the two key features of cyclical long memory: quasi-periodicity and long-term persistence. It further allows for a general cyclical phase in cyclical long memory time series. Several choices for suitable bivariate long memory series are discussed, including a parametric fractionally integrated vector…