We describe the impact of the intra-day activity pattern on theautocorrelation function estimator. We obtain an exact formula relatingestimators of the autocorrelation functions of non-stationary process to itsstationary counterpart. Hence, we proved that the day seasonality ofinter-transaction times extends the memory of as well the process itself as itsabsolute value. That is, both processes relaxation to zero is longer.
展开▼