Detecting long-range dependence with truncated ratios of periodogram ordinates

DOI10.1080/03610926.2019.1709646MaRDI QIDQ5078575zbMATH OpenOpenAlexFDO

Authors Erhard Reschenhofer, Manveer K. Mangat

Publication date 23 May 2022

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1080/03610926.2019.1709646

zbMATH Keywords

memory parameterperiodogramrobust teststruncated F distribution

Mathematics Subject Classification ID

Statistics (62-XX) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Applications of statistics to economics (62P20) Statistical tables (62Q05)

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Cited in

(1)

• Estimating long-range dependence in the presence of periodicity: An empirical study

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