An Omnibus Test for Time Series ModelI(d)

DOI10.1080/03610910802439139zbMath1161.62055MaRDI QIDQ3616257

Melvin J. Hinich, Terence Tai-Leung Chong

Publication date: 24 March 2009

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610910802439139

zbMATH Keywords

long memory; spectral distribution; Cramér-von Mises test; fractionally integrated process

Mathematics Subject Classification ID

62G10: Nonparametric hypothesis testing

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

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