Testing long memory based on a discretely observed process

DOI10.1007/S11766-016-3342-YMaRDI QIDQ2362937zbMATH OpenOpenAlexFDO

Authors Guangying Liu, Shibin Zhang, Xinsheng Zhang

Publication date 14 July 2017

Published in Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11766-016-3342-y

zbMATH Keywords

fractional Brownian motionhigh frequency datalong memorypower variationsemimartingale

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Generalizations of martingales (60G48) Nonparametric hypothesis testing (62G10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A central limit theorem for realised power and bipower variation of continuous semimartingales
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• scientific article; zbMATH DE number 1715060 (Why is no real title available?)
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• Testing for jumps in a discretely observed process
• Testing whether jumps have finite or infinite activity
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Cited in

(4)

• Testing the type of a semi-martingale: Itō against multifractal
• Tests of long memory: a bootstrap approach
• Asymptotic properties for multipower variation of semimartingales and Gaussian integral processes with jumps
• DETECTION OF NONCONSTANT LONG MEMORY PARAMETER

Describes a project that uses

Uses Software

• longmemo

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