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長期記憶時系列の記憶パラメーターのノンパラメトリック推定 : 円対ドル為替レートの長期持続性
https://fukuyama-u.repo.nii.ac.jp/records/6169
https://fukuyama-u.repo.nii.ac.jp/records/6169f9b8e24f-197d-4852-841e-10beac62c11e
名前 / ファイル | ライセンス | アクション |
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Item type | 紀要論文(ELS) / Departmental Bulletin Paper(1) | |||||
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公開日 | 2001-01-25 | |||||
タイトル | ||||||
タイトル | 長期記憶時系列の記憶パラメーターのノンパラメトリック推定 : 円対ドル為替レートの長期持続性 | |||||
タイトル | ||||||
言語 | en | |||||
タイトル | A nonparametric estimation of the parameter in long memory time series : long perisistence in the exchange rate of Yen/US dollar | |||||
言語 | ||||||
言語 | jpn | |||||
資源タイプ | ||||||
資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||
資源タイプ | departmental bulletin paper | |||||
ページ属性 | ||||||
内容記述タイプ | Other | |||||
内容記述 | P(論文) | |||||
記事種別(日) | ||||||
値 | 論文 | |||||
記事種別(英) | ||||||
言語 | en | |||||
値 | Article | |||||
著者名(日) |
岡本, 雅典
× 岡本, 雅典 |
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著者名よみ | ||||||
識別子Scheme | WEKO | |||||
識別子 | 27973 | |||||
姓名 | オカモト, マサノリ | |||||
著者名(英) | ||||||
識別子Scheme | WEKO | |||||
識別子 | 27974 | |||||
姓名 | Okamoto, Masanori Bernard | |||||
言語 | en | |||||
著者所属(日) | ||||||
値 | 福山大学経済学部 | |||||
著者所属(英) | ||||||
言語 | en | |||||
値 | FUKUYAMA UNIVERSITY | |||||
抄録(英) | ||||||
内容記述タイプ | Other | |||||
内容記述 | This paper gives a nonparamertic method of estimation of memory parameter d in the long memory time series by fractal dimension analysis. Two-segments curve in the mean length curve gives a characteristic time scale which separates between long and intermediate persistence. Memory parameter d is estimated by the power law index which is determined by the corresponding characteristic frequency. For original nondetrended series we find that d=0.45±0.13 for the part of long memeory process and d=-0.29±0.10 in the intermediate memory process. On the othe hand, for the linearly detrended series we also find d=0.41±0.18 in the part of long memory process and d=-0.33±0.55 in the part of intermediate memory process. | |||||
雑誌書誌ID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AN00217633 | |||||
書誌情報 |
福山大学経済学論集 巻 25, 号 合併, p. 25-35, 発行日 2001-01-25 |