Long memory and stochastic trend
In this paper, we study a general stochastic trend model and provide conditions on the partial sums which imply the convergence of the V/S statistic. These conditions generalize those in Giraitis et al. (J. Appl. Probab. 38 (2001) 1033) obtained in the case of deterministic trend model. As a particular example of stochastic trend we study a regime switching process called mixture model. We prove that in the non-trivial cases the partial sums converge to a compound Poisson process whereas in "degenerated" cases it resembles the behavior of the I(d-1) process.
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Volume (Year): 61 (2003)
Issue (Month): 2 (January)
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