摘要
文章首次提出一种与ADF检验相结合的更加简便易行的长记忆性判断方法。给出了一套将长记忆参数d的初估计与近似极大似然估计相结合,将时间序列长记忆分析与短记忆分析相结合的系统性的建模思路。利用中国房地产价格指数,进行了时间序列长记忆性判断以及ARFIMA建模的实证研究,并证明了该模型与其它模型相比较所体现的优越性。
This article proposed for the first time one kind the even more easy to do and easier long memory judgment method which unifies with the ADF examination. This article has given a set the long memory parameter at the beginning of estimate and the approximate maximum likelihood method estimated unifies, unifies the time series long memory analysis and the short memory analysis the systematic modeling mentality. Finally, the paper uses the Chinese real estate price index, has carried on the time series long memory judgment as well as the ARFIMA modeling real diagnosis research, and had proven this model compares the superiority with other models which manifests.
出处
《哈尔滨商业大学学报（社会科学版）》
2008年第2期80-83,共4页
Journal of Harbin University of Commerce:Social Science Edition
