A frequency-domain test for long range dependence

Gennadi Gromykov, Mohamedou Ould Haye and Anne Philippe ()
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Gennadi Gromykov: Carleton University
Mohamedou Ould Haye: Carleton University
Anne Philippe: Université de Nantes

Statistical Inference for Stochastic Processes, 2018, vol. 21, issue 3, No 2, 513-526

Abstract: Abstract A new frequency-domain test statistic is introduced to test for short memory versus long memory. We provide its asymptotic distribution under the null hypothesis and show that it is consistent under any long memory alternative. Some simulation studies show that this test is more robust than various standard tests in terms of empirical size when the normality of observed process is lost.

Keywords: Long memory; Dependence; Time series; Limit theorem; Hypothesis test (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1007/s11203-017-9164-6

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