Rescaled range analysis in the presence of stochastic trend

Alexander Aue, Lajos Horvath and Josef Steinebach

Statistics & Probability Letters, 2007, vol. 77, issue 12, 1165-1175

Abstract: We study the limiting behavior of the prominent R/S test statistic, aimed at detecting long-range dependence, if instead of long memory a stochastic trend given by cumulative random shocks is present. As the main result we derive the convergence rate of the R/S statistic to its limit.

Keywords: Compound; Poisson; process; Long; memory; Long-range; dependence; Rescaled; range; analysis; Rescaled; variance; analysis; R/S; statistic; Stochastic; trend; V/S; statistic (search for similar items in EconPapers)
Date: 2007
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