Testing the fractional integration parameter revisited: a fractional Dickey-Fuller test

DOI10.1504/IJMOR.2018.092106zbMath1452.62608WikidataQ129723044 ScholiaQ129723044MaRDI QIDQ2204611

Ahmed Bensalma

Publication date: 15 October 2020

Published in: International Journal of Mathematics in Operational Research (Search for Journal in Brave)

zbMATH Keywords

fractional integrationunit root testDickey-Fullerfractional unit rootfractional Dickey-Fuller test

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: hypothesis testing (62M07)

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