A two-sample test for comparison of long memory parameters

DOI10.1016/j.jmva.2010.04.003zbMath1352.62041arXiv0907.1787OpenAlexW2031403448MaRDI QIDQ990895

Donatas Surgailis, Frédéric Lavancier, Anne Philippe

Publication date: 1 September 2010

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0907.1787

zbMATH Keywords

long memorybandwidth choicelong-run covariancerescaled variancetwo-sample test for comparison of memory parameters

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Fractional processes, including fractional Brownian motion (60G22) Asymptotic properties of parametric tests (62F05)

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