A two-sample test for comparison of long memory parameters
From MaRDI portal
Publication:990895
DOI10.1016/j.jmva.2010.04.003zbMath1352.62041arXiv0907.1787MaRDI QIDQ990895
Donatas Surgailis, Frédéric Lavancier, Anne Philippe
Publication date: 1 September 2010
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0907.1787
long memory; bandwidth choice; long-run covariance; rescaled variance; two-sample test for comparison of memory parameters
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
60G22: Fractional processes, including fractional Brownian motion
62F05: Asymptotic properties of parametric tests
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