1989 Fiscal Year Final Research Report Summary
Long-memory time series; its foundations and applications to economics.
| Project/Area Number |
63530014
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| Research Category |
Grant-in-Aid for General Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Research Field |
統計学
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| Research Institution | HIROSHIMA UNIVERSITY |
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Principal Investigator |
OKAMOTO Masanori Hiroshima University Dept. Economics, Professor, 経済学部, 教授 (20034530)
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| Co-Investigator(Kenkyū-buntansha) |
ODAKI Mitsuhiro Hiroshima University Dept. Economics, Lecturer, 経済学部, 講師 (00194564)
TANIGUSHI Masanobu Hiroshima University Dept. Sciences, Assist. Prof., 理学部, 助教授 (00116625)
FUJIKOSHI Yasumori Hiroshima University Dept. Sciences, Professor, 理学部, 教授 (40033849)
MAEKAWA Kouichi Hiroshima University Dept. Economics, Professor, 経済学部, 教授 (20033748)
KIMURA Shigeru Hiroshima University Dept. Economics, Professor, 経済学部, 教授 (80067454)
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| Project Period (FY) |
1988 – 1989
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| Keywords | Long-memory Time Series / Exchange Rate Model / FGN / Fractional ARIMA / Power Function / Cointegration / Asymptotic Expansion / Ancillary Statistic |
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| Research Abstract |
OKAMOTO generated FGN and fractional ARIMA(O,d,O) and ARIMA(l,d,O)on the computer to simulate long-memory time series. By FGN plus certain sinusoidal components,,he obtained the simulated time series having the same long-memory character as the real exchange rate. He also studied the effects of autoregressive part on fractional ARIMA(l,d,O). He estimate degree d of fractional differencing of ARIMA with additional 1/2 differencing from the relation of periodogram vs frequency. He presented a statistic testing the null hypothesis of Brownian motion vs the alternatives of fractional Brownian motion and commuted its power function. KIMURA & Okamoto studied about models of exchange rate from the point of view of random walk, interest parity, unbiased predictor and time series AR model, in particular about predictability of different models. ODAKI studied the cointegration and common trend under the condition of the existence of constant term. Asymptotic ancillarity in time series was studied by TANIGUCHI. MAEKAWA presented asymptotic expansion of the sample distribution of unknown parameter of spectral density up to the third order. He also reported asymptotic expansion of OLS estimate in nonlinear regression model. FUJIKOSHI made a series of studies on error bounds for asymptotic expansions of the distributions of some multivariate statistics.
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