Detecting long-range dependence with truncated ratios of periodogram ordinates

DOI10.1080/03610926.2019.1709646OpenAlexW3002019460MaRDI QIDQ5078575

Erhard Reschenhofer, Manveer K. Mangat

Publication date: 23 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2019.1709646

zbMATH Keywords

periodogramrobust testsmemory parametertruncated F distribution

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Statistics (62-XX) Statistical tables (62Q05)

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