Author : Silvio Di Sanzo
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Book Synopsis Forecasting Time Series With Long Memory and Level Shifts by : Silvio Di Sanzo
Download or read book Forecasting Time Series With Long Memory and Level Shifts written by Silvio Di Sanzo and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent studies have showed that it is troublesome, in practice, to distinguish between long memory and nonlinear processes. Therefore, it is of obvious interest to try to capture both features of long memory and non-linearity into a single time series model to be able to assess their relative importance. In this paper we put forward such a model, where we combine the features of long memory and Markov nonlinearity. A Markov Chain Monte Carlo algorithm is proposed to estimate the model and evaluate its forecasting performance using Bayesian predictive densities. The resulting forecasts are a significant improvement over those obtained by the linear long memory and Markov switching models.