Detection of long range dependence in the time domain for (in)finite-variance time series

DOI10.1080/02331888.2023.2287749MaRDI QIDQ6192199zbMATH OpenOpenAlexFDO

Authors Marco Oesting, Albert Rapp, Evgeny Spodarev

Publication date 12 February 2024

Published in Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2204.05608

zbMATH Keywords

fractional processeslinear regressionlong range dependencestationary stochastic processestime series

Mathematics Subject Classification ID

Statistics (62-XX)

Abstract: Empirical detection of long range dependence (LRD) of a time series often consists of deciding whether an estimate of the memory parameter $d$ corresponds to LRD. Surprisingly, the literature offers numerous spectral domain estimators for $d$ but there are only a few estimators in the time domain. Moreover, the latter estimators are criticized for relying on visual inspection to determine an observation window $[n_1,n_2]$ for a linear regression to run on. Theoretically motivated choices of $n_1$ and $n_2$ are often missing for many time series models. In this paper, we take the well-known variance plot estimator and provide rigorous asymptotic conditions on $[n_1,n_2]$ to ensure the estimator's consistency under LRD. We establish these conditions for a large class of square-integrable time series models. This large class enables one to use the variance plot estimator to detect LRD for infinite-variance time series (after suitable transformation). Thus, detection of LRD for infinite-variance time series is another novelty of our paper. A simulation study indicates that the variance plot estimator can detect LRD better than the popular spectral domain GPH estimator.

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Cited in

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