The Variance Ratio Test with Stable Paretian Errors

DOI10.1111/1467-9892.01664MaRDI QIDQ4544841zbMATHOpenAlexFDO

Authors

Publication date 5 August 2002

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9892.01664

zbMATH Keywords

variance ratio testMonte-Carlo experimentsstable Pareto distributions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05) Non-Markovian processes: hypothesis testing (62M07)

Recommendations

• On the asymptotic power of the variance ratio test
• A Combined Invariant Test for a Null Variance Ratio
• An exact invariant variance ratio test.
• THE VARIANCE RATIO TEST: AN ANALYSIS OF SIZE AND POWER BASED ON A CONTINUOUS-TIME ASYMPTOTIC FRAMEWORK
• Generalized Variance-Ratio Tests in the Presence of Statistical Dependence
• Robustness and power of tests for a null variance ratio
• Ratio tests for variance change in nonparametric regression
• scientific article; zbMATH DE number 3892404

Cites work

• scientific article; zbMATH DE number 1250597 (Why is no real title available?)
• An iterative procedure for the estimation of the parameters of stable laws
• Are output fluctuations transitory?
• Regression-Type Estimation of the Parameters of Stable Laws
• Simple consistent estimators of stable distribution parameters
• The Durbin-Watson ratio under infinite-variance errors

Cited in

(6)

• A Combined Invariant Test for a Null Variance Ratio
• A small‐sample overlapping variance‐ratio test
• Error estimation in the method of dependent tests for multiple parametric integrals with infinite variance
• Testing the stable Paretian assumption
• THE VARIANCE RATIO TEST: AN ANALYSIS OF SIZE AND POWER BASED ON A CONTINUOUS-TIME ASYMPTOTIC FRAMEWORK
• Generalized Variance-Ratio Tests in the Presence of Statistical Dependence

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