Wavelet-domain test for long-range dependence in the presence of a trend

DOI10.1080/02331880701597222MaRDI QIDQ3525835zbMATH OpenOpenAlexFDO

Authors Agnieszka Jach, Piotr Kokoszka

Publication date 18 September 2008

Published in Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331880701597222

zbMATH Keywords

waveletslong-range dependenceARFIMA processgeneralized likelihood ratiopolynomial trend

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Inference from stochastic processes and spectral analysis (62M15)

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Cites work

• scientific article; zbMATH DE number 1470722 (Why is no real title available?)
• Convergence of a stochastic approximation version of the EM algorithm
• Discrimination between monotonic trends and long-range dependence
• Long memory and regime switching
• ON THE ROBUSTNESS TO SMALL TRENDS OF ESTIMATION BASED ON THE SMOOTHED PERIODOGRAM
• On discriminating between long-range dependence and changes in mean
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Testing for long memory in the presence of a general trend
• The Hurst effect under trends
• Wavelet-based parameter estimation for polynomial contaminated fractionally differenced processes

Cited in

(10)

• Tests of Correlation Among Wavelet-Based Estimates for Long Memory Processes
• LONG RANGE DEPENDENCE, UNBALANCED HAAR WAVELET TRANSFORMATION AND CHANGES IN LOCAL MEAN LEVEL
• On distinguishing multiple changes in mean and long-range dependence using local Whittle estimation
• Bootstrap testing for discontinuities under long-range dependence
• Robust wavelet-domain estimation of the fractional difference parameter in heavy-tailed time series: An empirical study
• Spurious regression
• A piecewise polynomial trend against long range dependence
• ATesting for the Onset of Trend, Using Wavelets
• Statistical tests for a single change in mean against long-range dependence
• A class of fast and accurate deterministic trend decomposition in the spectral domain using simple and sharp diffusive filters

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