Testing for long memory in the presence of a general trend

DOI10.1239/JAP/1011994190MaRDI QIDQ4537308zbMATH OpenOpenAlexFDO

Authors L. Giraitis, Remigijus Leipus, Piotr Kokoszka

Publication date 26 June 2002

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/jap/1011994190

zbMATH Keywords

change point

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(30)

• Visualization and inference based on wavelet coefficients, SiZer and SiNos
• On the power of \(R\)/\(S\)-type tests under contiguous and semi-long memory alternatives
• Long memory and stochastic trend.
• A modified test against spurious long memory
• Semiparametric stationarity and fractional unit roots tests based on data-driven multidimensional increment ratio statistics
• A multivariate test against spurious long memory
• Long memory versus structural breaks: an overview
• Empirical process of the squared residuals of an ARCH sequence
• Rescaled variance and related tests for long memory in volatility and levels
• Data-driven semi-parametric detection of multiple changes in long-range dependent processes
• The increment ratio statistic
• On discriminating between long-range dependence and changes in mean
• Accumulative prediction error and the selection of time series models
• Testing structural breaks versus long memory with the Box-Pierce statistics: a Monte Carlo study
• Tests of long memory: a bootstrap approach
• Rescaled range analysis in the presence of stochastic trend
• Structural breaks in time series
• The sensitivity of detrended long-memory processes
• Local Whittle estimation of the memory parameter in presence of deterministic components
• A test against spurious long memory
• Asymptotics for random functions moderated by dependent noise
• Impact of the periodicity and trend on the FD parameter estimation
• Wavelet-domain test for long-range dependence in the presence of a trend
• An Empirical Strategy to Detect Spurious Effects in Long Memory and Occasional-Break Processes
• Robust discrimination between long-range dependence and a change in mean
• Spurious regression
• The increment ratio statistic under deterministic trends
• Detecting long-range dependence for time-varying linear models
• A novel approach to predictive accuracy testing in nested environments
• Discussion on: ``Assessing predictability of environmental time series with statistical and machine learning models

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