94,805 research outputs found

    New methods for the analysis of long memory time series: application to Spanish inflation

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    Models for long-memory time series are considered, in which the autocovariance sequence is only parameterized at very long lags, or the spectral density is only parametized at very low frequencies. Various recently proposed methods for estimating the differencing parameters are reviewed, and applied to an economic time series of prices in Spain

    Optimal spectral bandwidth for long memory

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    For long range dependent time series with a spectral singularity at frequency zero, a theory for optimal bandwidth choice in non-parametric analysis ofthe singularity was developed by Robinson (1991b). The optimal bandwidths are described and compared with those in case of analysis of a smooth spectrum. They are also analysed in case of fractional ARIMA models and calculated as a function of the self similarity parameter in some special cases. Feasible data dependent approximations to the optimal bandwidth are discussed

    Counting fixed points and rooted closed walks of the singular map xxxnx \mapsto x^{x^n} modulo powers of a prime

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    The "self-power" map xxxx \mapsto x^x modulo mm and its generalized form xxxnx \mapsto x^{x^n} modulo mm are of considerable interest for both theoretical reasons and for potential applications to cryptography. In this paper, we use pp-adic methods, primarily pp-adic interpolation, Hensel's lemma, and lifting singular points modulo pp, to count fixed points and rooted closed walks of equations related to these maps when mm is a prime power. In particular, we introduce a new technique for lifting singular solutions of several congruences in several unknowns using the left kernel of the Jacobian matrix.Comment: 18 pages. Version 2 shortens proofs, reduces redundancy, and introduces new technique for counting rooted closed walks. Version 3 updates title to agree with journal publicatio

    Polynomial Cointegration among Stationary Processes with Long Memory

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    n this paper we consider polynomial cointegrating relationships among stationary processes with long range dependence. We express the regression functions in terms of Hermite polynomials and we consider a form of spectral regression around frequency zero. For these estimates, we establish consistency by means of a more general result on continuously averaged estimates of the spectral density matrix at frequency zeroComment: 25 pages, 7 figures. Submitted in August 200

    On the structure of subsets of an orderable group with some small doubling properties

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    The aim of this paper is to present a complete description of the structure of subsets S of an orderable group G satisfying |S^2| = 3|S|-2 and is non-abelian
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