On the power of \(R\)/\(S\)-type tests under contiguous and semi-long memory alternatives

DOI10.1023/A:1025702003631zbMath1029.62075OpenAlexW1719849314MaRDI QIDQ1415885

Liudas Giraitis, Remigijus Leipus, Gilles Teyssière, Piotr S. Kokoszka

Publication date: 9 December 2003

Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1025702003631

zbMATH Keywords

long memoryARCH processeslinear ARCH\(V/S\) statisticGegenbauer processKPSS statisticmodified \(R/S\) statisticsemi-long memorysemi-parametric tests

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

Tempered fractional Brownian motion: wavelet estimation, modeling and testing ⋮ Asymptotic theory for regression models with fractional local to unity root errors ⋮ Testing for bubbles and change-points ⋮ The increment ratio statistic ⋮ Statistical properties of detrended fluctuation analysis ⋮ On Gebelein's correlation coefficient