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Author Guegan, Dominique ♦ Rioublanc, Stéphanie
Source Hyper Articles en Ligne (HAL)
Content type Text
File Format PDF
Language English
Subject Keyword jumps ♦ Markov switching processes ♦ FARMA processes ♦ forecasts ♦ jumps. ♦ Markov switching model ♦ FARMA processus ♦ prévisions ♦ sauts. ♦ shs ♦ math ♦ stat ♦ Humanities and Social Sciences/Economies and finances ♦ Humanities and Social Sciences/Methods and statistics ♦ Mathematics [math]/Probability [math.PR] ♦ Mathematics [math]/Statistics [math.ST] ♦ Statistics [stat]/Statistics Theory [stat.TH]
Abstract In this paper, we analyze the possible confusion in terms of long memory behavior of the autocorrelation function of a Markov switching model. Such a model is known to have a short memory behavior. Analyzing the value of sum of the transition probabilities and the number of switches inside such a model, we show their impact to create long memory. The ability of the true Markov switching model to predict is compared with the forecasts obtained from a long memory process adjusted on data derived from the former model. It is shown that, in certain cases, this spurious long memory behavior can be benefit to get better forecasts.
ISSN 16240340
Educational Use Research
Learning Resource Type Article
Publisher Date 2005-12-01