| Presentation | 2010-07-13 Analysis of long-term memory of the economic data based on Granger theory Shintaro SEKIMOTO, Yasukuni MORI, Ikuo MATSUBA, |
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| Abstract(in Japanese) | (See Japanese page) |
| Abstract(in English) | In the area where the time series data are treated, the series that take the sum of a lot of time series are often used as a statistical index of that area. For instance, Nikkei stock average, which is an average of stock prices of 225 companies, is often used as a stock market barometer in Japanese economy. However, the sum of series might have characteristics that are different from each individual time series. Granger have showed that the sum of an infinite of time series, which have short-term memory process, have a long-term memory process. In this paper, the Granger's theory is actually demonstrated by using the Nikkei data. |
| Keyword(in Japanese) | (See Japanese page) |
| Keyword(in English) | time series analysis / long-term memory / AR model |
| Paper # | NLP2010-45 |
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| Conference Information | |
| Committee | NLP |
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| Conference Date | 2010/7/5(1days) |
| Place (in Japanese) | (See Japanese page) |
| Place (in English) | |
| Topics (in Japanese) | (See Japanese page) |
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| Paper Information | |
| Registration To | Nonlinear Problems (NLP) |
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| Language | JPN |
| Title (in Japanese) | (See Japanese page) |
| Sub Title (in Japanese) | (See Japanese page) |
| Title (in English) | Analysis of long-term memory of the economic data based on Granger theory |
| Sub Title (in English) | |
| Keyword(1) | time series analysis |
| Keyword(2) | long-term memory |
| Keyword(3) | AR model |
| 1st Author's Name | Shintaro SEKIMOTO |
| 1st Author's Affiliation | Chiba University, Graduate School of Advanced Integration Science() |
| 2nd Author's Name | Yasukuni MORI |
| 2nd Author's Affiliation | Chiba University, Graduate School of Advanced Integration Science |
| 3rd Author's Name | Ikuo MATSUBA |
| 3rd Author's Affiliation | Chiba University, Graduate School of Advanced Integration Science |
| Date | 2010-07-13 |
| Paper # | NLP2010-45 |
| Volume (vol) | vol.110 |
| Number (no) | 122 |
| Page | pp.pp.- |
| #Pages | 4 |
| Date of Issue | |