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

DOI10.1016/j.jmva.2011.09.003zbMath1274.62554arXiv1010.0426OpenAlexW1984882317MaRDI QIDQ764492

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

goodness-of-fit testestimation of the memory parameterlong-memory Gaussian processesminimax adaptive estimator

Mathematics Subject Classification ID

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

Related Items

Semiparametric stationarity and fractional unit roots tests based on data-driven multidimensional increment ratio statistics

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