A frequency-domain test for long range dependence

DOI10.1007/S11203-017-9164-6MaRDI QIDQ6870307zbMATH OpenFDO

Authors Gennadi Gromykov, M. Ould Haye, Anne Philippe

Publication date 21 January 2026

Published in Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S11203-017-9164-6

zbMATH Keywords

dependencehypothesis testlimit theoremlong memorytime series

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(2)

• An hypothesis test to detect short or long range dependence based on fractional iterated Ornstein-Uhlenbeck processes
• Statistical testing for long-range dependence in the workload of a single-server queue

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