Testing for long memory in the presence of a general trend

DOI10.1239/JAP/1011994190zbMath1140.62341OpenAlexW2164933145MaRDI QIDQ4537308

Liudas Giraitis, Remigijus Leipus, Piotr S. Kokoszka

Publication date: 26 June 2002

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1011994190

zbMATH Keywords

change point

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05)

Related Items (21)

Asymptotics for random functions moderated by dependent noise ⋮ Rescaled range analysis in the presence of stochastic trend ⋮ Spurious regression ⋮ The increment ratio statistic under deterministic trends ⋮ Semiparametric stationarity and fractional unit roots tests based on data-driven multidimensional increment ratio statistics ⋮ Data-driven semi-parametric detection of multiple changes in long-range dependent processes ⋮ Wavelet-domain test for long-range dependence in the presence of a trend ⋮ Long memory and stochastic trend. ⋮ Detecting long-range dependence for time-varying linear models ⋮ The increment ratio statistic ⋮ Long memory versus structural breaks: an overview ⋮ On discriminating between long-range dependence and changes in mean ⋮ Accumulative prediction error and the selection of time series models ⋮ An Empirical Strategy to Detect Spurious Effects in Long Memory and Occasional-Break Processes ⋮ Local Whittle estimation of the memory parameter in presence of deterministic components ⋮ Visualization and inference based on wavelet coefficients, SiZer and SiNos ⋮ Robust discrimination between long‐range dependence and a change in mean ⋮ Structural breaks in time series ⋮ Empirical process of the squared residuals of an ARCH sequence ⋮ Rescaled variance and related tests for long memory in volatility and levels ⋮ Testing structural breaks versus long memory with the Box-Pierce statistics: a Monte Carlo study

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