A new simple test against spurious long memory using temporal aggregation

DOI10.1080/00949655.2010.483231zbMath1431.62394OpenAlexW2041618547MaRDI QIDQ4914973

Heri Kuswanto

Publication date: 16 April 2013

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2010.483231

zbMATH Keywords

aggregationspurious long memorylocal Whittle method

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites Work

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