Long Memory Conference 2018
06.06.2018 kl. 09.00 - 07.06.2018 kl. 16.00
Long Memory deals with the notion that certain series have autocorrelation functions that decay slower than what standard models can account for. The autocorrelation function for a long memory process shows hyperbolic decay, which translates into shocks having non-zero effects even after much time has passed. As such, its presence has repercussions for inference and prediction.....
Institut for Matematiske Fag