Wavelet-domain test for long-range dependence in the presence of a trend

DOI10.1080/02331880701597222zbMath1148.62072OpenAlexW2060559119MaRDI QIDQ3525835

Agnieszka Jach, Piotr S. Kokoszka

Publication date: 18 September 2008

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331880701597222

zbMATH Keywords

waveletslong-range dependenceARFIMA processgeneralized likelihood ratiopolynomial trend

Mathematics Subject Classification ID

Related Items (6)

Statistical tests for a single change in mean against long-range dependence ⋮ Spurious regression ⋮ A class of fast and accurate deterministic trend decomposition in the spectral domain using simple and sharp diffusive filters ⋮ Robust wavelet-domain estimation of the fractional difference parameter in heavy-tailed time series: An empirical study ⋮ On distinguishing multiple changes in mean and long-range dependence using local Whittle estimation ⋮ LONG RANGE DEPENDENCE, UNBALANCED HAAR WAVELET TRANSFORMATION AND CHANGES IN LOCAL MEAN LEVEL

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• ON THE ROBUSTNESS TO SMALL TRENDS OF ESTIMATION BASED ON THE SMOOTHED PERIODOGRAM
• Wavelet-based parameter estimation for polynomial contaminated fractionally differenced processes
• Long memory and regime switching

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