An adaptive estimator of the memory parameter and the goodness-of-fit test using a multidimensional increment ratio statistic

DOI10.1016/J.JMVA.2011.09.003MaRDI QIDQ764492zbMATH OpenOpenAlexFDO

Authors Jean-Marc Bardet, Béchir Dola

Publication date 13 March 2012

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1010.0426

zbMATH Keywords

estimation of the memory parametergoodness-of-fit testlong-memory Gaussian processesminimax adaptive estimator

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Non-Markovian processes: hypothesis testing (62M07) Non-Markovian processes: estimation (62M09)

Abstract: The increment ratio (IR) statistic was first defined and studied in Surgailis {it et al.} (2007) for estimating the memory parameter either of a stationary or an increment stationary Gaussian process. Here three extensions are proposed in the case of stationary processes. Firstly, a multidimensional central limit theorem is established for a vector composed by several IR statistics. Secondly, a goodness-of-fit $ch{i}^2$-type test can be deduced from this theorem. Finally, this theorem allows to construct adaptive versions of the estimator and test which are studied in a general semiparametric frame. The adaptive estimator of the long-memory parameter is proved to follow an oracle property. Simulations attest of the interesting accuracies and robustness of the estimator and test, even in the non Gaussian case.

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Cited in

(4)

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• Adaptive semiparametric wavelet estimator and goodness-of-fit test for long-memory linear processes
• Adaptive semiparametric estimation of the memory parameter.
• The increment ratio statistic under deterministic trends

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