Asymptotics for Fractional Processes
$328.31
- Hardcover
224 pages
- Release Date
23 June 2025
Summary
Asymptotics for Fractional Processes develops an approach to the large-sample analysis of fractional partial-sum processes, featuring long memory increments. Long memory in a time series, equivalently called strong dependence, is usually defined to mean that the autocovariance sequence is non-summable. The processes studied have a linear moving average representation with a single parameter, denoted d, to measure the degree of long-run persistence. Long memory means that d is positive, while …
Book Details
| ISBN-13: | 9780198955177 |
|---|---|
| ISBN-10: | 0198955170 |
| Author: | James Davidson |
| Publisher: | Oxford University Press |
| Imprint: | Oxford University Press |
| Format: | Hardcover |
| Number of Pages: | 224 |
| Release Date: | 23 June 2025 |
| Weight: | 470g |
| Dimensions: | 14mm x 156mm x 234mm |
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About The Author
James Davidson
James Davidson is Professor of Econometrics (Emeritus) at the University of Exeter. He graduated from the University of Birmingham in 1973 and received an MSc in Mathematical Economics and Econometrics from the London School of Economics and Political Science (LSE) in 1975. Since then, he has held teaching posts at the University of Warwick, LSE, the University of Wales Aberystwyth, Cardiff University, and the University of Exeter as well as visiting positions at the University of California Berkeley, the University of California San Diego, Hong Kong University of Science and Technology, and Central European University. Davidson is the author of Stochastic Limit Theory (Second Edition, 2021), Introduction to Econometric Theory (2018), and Econometric Theory (2000).
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