A test of location for data with slowly decaying serial correlations

DOI10.1093/BIOMET/76.2.261MaRDI QIDQ3823027zbMATH OpenOpenAlexFDO

Authors Jan Beran

Publication date 1989

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/76.2.261

zbMATH Keywords

approximate distributionarithmetic meanconfidence intervalfractional Gaussian noiselong- range dependencemodified t-testprediction intervalsself-similar processesserial correlations

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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• Long memory processes and fractional integration in econometrics
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• ROBUST COVARIANCE MATRIX ESTIMATION: HAC ESTIMATES WITH LONG MEMORY/ANTIPERSISTENCE CORRECTION
• Estimating long-range dependence in the presence of periodicity: An empirical study
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