Time series modelling of sunspot numbers using long range cyclical dependence
This paper deals with the analysis of the monthly structure of sunspot numbers using a new technique based on cyclical long range dependence. The results show that sunspot numbers have a periodicity of 130 months, but more importantly, that the series is highly persistent, with an order of cyclical fractional integration slightly above 0.30. That means that the series displays long memory, with a large degree of dependence between the observations that tends to disappear very slowly in time
|Date of creation:||01 Nov 2009|
|Date of revision:|
|Publication status:||Published in Solar Physics 257 (2), 371-281 (2009)|
|Contact details of provider:|| Web page: http://www.unav.es/facultad/econom|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Chung, Ching-Fan, 1996. "Estimating a generalized long memory process," Journal of Econometrics, Elsevier, vol. 73(1), pages 237-259, July.
- Ferrara, Laurent & Guegan, Dominique, 2001. "Forecasting with k-Factor Gegenbauer Processes: Theory and Applications," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(8), pages 581-601, December.
- Granger, C. W. J., 1980. "Long memory relationships and the aggregation of dynamic models," Journal of Econometrics, Elsevier, vol. 14(2), pages 227-238, October.
- Dalla, Violetta & Hidalgo, Javier, 2005.
"A parametric bootstrap test for cycles,"
Journal of Econometrics,
Elsevier, vol. 129(1-2), pages 219-261.
- L.A. Gil-Alanaa, 2007. "Testing The Existence of Multiple Cycles in Financial and Economic Time Series," Annals of Economics and Finance, Society for AEF, vol. 8(1), pages 1-20, May.
When requesting a correction, please mention this item's handle: RePEc:una:unccee:wp0609. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ()
If references are entirely missing, you can add them using this form.