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Persistenz und saisonale Abhängigkeiten in Abflüssen des Rheins

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  • Lohre, Michael
  • Sibbertsen, Philipp

Abstract

Das Abflussverhalten des Rheins wird mittels flexibler saisonaler Modelle mit langem Gedächtnis modelliert. Zur Schätzung der Persistenz wird für jede Saisonfrequenz separat eine Log-Periodogramm Regression durchgeführt. Verglichen mit Standard-ARMA-Prozessen liefern diese Modelle eine gute Anpassung an das Langfristverhalten des Rheins. Langfristabhängigkeiten werden signifikant für die Jahres- und Halbjahresfrequenz geschätzt.

Suggested Citation

  • Lohre, Michael & Sibbertsen, Philipp, 2001. "Persistenz und saisonale Abhängigkeiten in Abflüssen des Rheins," Technical Reports 2001,38, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    • Handle: RePEc:zbw:sfb475:200138
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    References listed on IDEAS

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