A monte carlo analysis of two spectral tests of the martingale hypothesis

DOI10.1007/BF02589095zbMath1446.62252MaRDI QIDQ3598366

Claudio Lupi

Publication date: 3 February 2009

Published in: Journal of the Italian Statistical Society (Search for Journal in Brave)

zbMATH Keywords

Monte Carlomartingaleshypothesis testingspectral tests

Mathematics Subject Classification ID

Inference from stochastic processes and spectral analysis (62M15)

Related Items (1)

Fourier–type tests involving martingale difference processes

Cites Work

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• On Limit Theorems for Quadratic Functions of Discrete Time Series
• TESTING FOR SERIAL CORRELATION IN LEAST SQUARES REGRESSION. II

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