Memory and infrequent breaks.(English)Zbl 0968.91036

Summary: We study how processes with infrequent regime switching may generate a long memory effect in the autocorrelation function. In such a case, the use of a strong fractional $$I(d)$$ model for economic or financial analysis may lead to spurious results.

MSC:

 9.1e+41 Memory and learning in psychology

Keywords:

long memory; switching regime; heavy tail
Full Text:

References:

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