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| Titel |
Structural break or long memory: an empirical survey on daily rainfall data sets across Malaysia |
| VerfasserIn |
F. Yusof, I. L. Kane, Z. Yusop |
| Medientyp |
Artikel
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| Sprache |
Englisch
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| ISSN |
1027-5606
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| Digitales Dokument |
URL |
| Erschienen |
In: Hydrology and Earth System Sciences ; 17, no. 4 ; Nr. 17, no. 4 (2013-04-08), S.1311-1318 |
| Datensatznummer |
250018841
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| Publikation (Nr.) |
 copernicus.org/hess-17-1311-2013.pdf |
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| Zusammenfassung |
| A short memory process that encounters occasional structural breaks in mean
can show a slower rate of decay in the autocorrelation function and other
properties of fractional integrated I (d) processes. In this paper we employed a
procedure for estimating the fractional differencing parameter in semiparametric
contexts proposed by Geweke and Porter-Hudak (1983) to analyse nine
daily rainfall data sets across Malaysia. The results indicate that all the
data sets exhibit long memory. Furthermore, an empirical fluctuation process
using the ordinary least square (OLS)-based cumulative sum (CUSUM) test for
the break date was applied. Break dates were detected in all data sets. The
data sets were partitioned according to their respective break date, and a
further test for long memory was applied for all subseries. Results show
that all subseries follows the same pattern as the original series. The
estimate of the fractional parameters d1 and d2 on the subseries
obtained by splitting the original series at the break date confirms that
there is a long memory in the data generating process (DGP). Therefore this evidence shows a true long
memory not due to structural break. |
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