New Test for a Random Walk Detection Based on the Arcsine Law

DOI10.1007/978-3-030-56219-9_4OpenAlexW3109647717MaRDI QIDQ5048328

Konrad Furmańczyk, Marcin Dudziński, Arkadiusz Orłowski

Publication date: 16 November 2022

Published in: Contributions to Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-030-56219-9_4

zbMATH Keywords

random walkarcsine lawtest for a random walk detection

Mathematics Subject Classification ID

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

Cites Work

• Unnamed Item
• Testing the random walk hypothesis: power versus frequency of observation
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Testing for unit roots in autoregressive-moving average models of unknown order
• Testing for a unit root in time series regression
• Time Series Regression with a Unit Root

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