A new simple test against spurious long memory using temporal aggregation

DOI10.1080/00949655.2010.483231zbMath1431.62394OpenAlexW2041618547MaRDI QIDQ4914973

Heri Kuswanto

Publication date: 16 April 2013

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2010.483231

zbMATH Keywords

aggregationspurious long memorylocal Whittle method

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (1)

Statistical tests for a single change in mean against long-range dependence

Cites Work

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• Temporal Aggregation and Bandwidth selection in estimating long memory
• Testing for a change of the long-memory parameter
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Testing and estimating for change in long memory parameter
• Test for Parameter Change in Linear Processes Based on Whittle's Estimator
• Quasi‐Maximum Likelihood Estimation for a Class of Continuous‐time Long‐memory Processes

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