no. 5-6
Statistics
A multivariate generalized long memory model
[Processus longue mémoire généralisés multivariés]

Présenté par : Paul Deheuvels

Diongue, Abdou Kâ1
1 LERSTAD, université Gaston-Berger, UFR SAT, BP 234, Saint-Louis, Senegal
Comptes Rendus. Mathématique, Tome 348 (2010) no. 5-6, pp. 327-330.

Dans cette Note, nous proposons une extension des processus longue mémoire multivariés VARFIMA permettant de modéliser à la fois la dépendence à mémoire courte, la saisonalité et la dependence à mémoire longue. Nous étudions quelques propriétés statistiques du modèle.

In this Note, we propose a new flexible multivariate long memory process which is a self-similar model with the ability to capture short-range dependence, seasonality and long-range dependence characteristics. Specifically, we extend the multivariate ARFIMA model proposed by Sowell (1989) [8], and investigate some of its statistical properties.

Reçu le :
Accepté le :
Publié le :
DOI : 10.1016/j.crma.2010.02.001
Diongue, Abdou Kâ 1

1 LERSTAD, université Gaston-Berger, UFR SAT, BP 234, Saint-Louis, Senegal 
@article{CRMATH_2010__348_5-6_327_0,
     author = {Diongue, Abdou K\^a},
     title = {A multivariate generalized long memory model},
     journal = {Comptes Rendus. Math\'ematique},
     pages = {327--330},
     publisher = {Elsevier},
     volume = {348},
     number = {5-6},
     year = {2010},
     doi = {10.1016/j.crma.2010.02.001},
     language = {en},
     url = {http://www.numdam.org/articles/10.1016/j.crma.2010.02.001/}
}
TY  - JOUR
AU  - Diongue, Abdou Kâ
TI  - A multivariate generalized long memory model
JO  - Comptes Rendus. Mathématique
PY  - 2010
SP  - 327
EP  - 330
VL  - 348
IS  - 5-6
PB  - Elsevier
UR  - http://www.numdam.org/articles/10.1016/j.crma.2010.02.001/
DO  - 10.1016/j.crma.2010.02.001
LA  - en
ID  - CRMATH_2010__348_5-6_327_0
ER  - 
%0 Journal Article
%A Diongue, Abdou Kâ
%T A multivariate generalized long memory model
%J Comptes Rendus. Mathématique
%D 2010
%P 327-330
%V 348
%N 5-6
%I Elsevier
%U http://www.numdam.org/articles/10.1016/j.crma.2010.02.001/
%R 10.1016/j.crma.2010.02.001
%G en
%F CRMATH_2010__348_5-6_327_0
Diongue, Abdou Kâ. A multivariate generalized long memory model. Comptes Rendus. Mathématique, Tome 348 (2010) no. 5-6, pp. 327-330. doi : 10.1016/j.crma.2010.02.001. http://www.numdam.org/articles/10.1016/j.crma.2010.02.001/

[1] A.K. Diongue, Modélisation longue mémoire multivariée : applications aux problématiques du producteur d'EDF dans le cadre de la libéralisation du marché européen de l'électricité, Ph.D. thesis, ENS Cachan, France, 2005

[2] Diongue, A.K.; Guégan, D.; Vignal, B. Forecasting electricity spot market prices with a k-factor GIGARCH process, Applied Energy, Volume 86 (2009), pp. 505-510

[3] Dueker, M.; Startz, R. Maximum likelihood estimation of fractionally cointegration with an application to U.S. and Canadian Bond Rates, Review of Economics and Statistics, Volume 80 (1998), pp. 420-426

[4] Hosoya, Y. The quasi-maximum likelihood approach to statistical inference on multiple time series with long range dependence, Journal of Econometrics, Volume 71 (1996), pp. 217-236

[5] Luceño, A. A fast likelihood approximation for vector general linear processes with long series: Application to fractional differencing, Biometrika, Volume 83 (1996) no. 3, pp. 603-614

[6] Norrbin, S.C.; Smallwood, A.D. Generalized long memory and mean reversion of the real exchange rate, Applied Economics (2008), pp. 1-10 (iFirst)

[7] So, M.K.P.; Kwok, S.W.Y. A multivariate long memory stochastic volatility model, Physica A, Volume 362 (2006), pp. 450-464

[8] F. Sowell, Maximum likelihood estimation of fractionally integrated time series models, Working Paper, Carnegie-Mellon University, 1989

[9] W.-J. Tsay, Maximum likelihood estimation of stationary multivariate ARFIMA processes, Journal of Statistical Computation and Simulation (2009), forthcoming

Cité par Sources :