Detecting long-range dependence in non-stationary time series

DOI10.1214/17-EJS1262zbMath1362.62164arXiv1312.7452OpenAlexW2161161969MaRDI QIDQ527089

Kemal Sen, Philip Preuss, Dette, Holger

Publication date: 16 May 2017

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1312.7452

zbMATH Keywords

goodness-of-fit testsnon-stationary processesspectral densitylong-memoryintegrated periodogramempirical spectral measurelocally stationary processapproximating models

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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