Detecting long-range dependence with truncated ratios of periodogram ordinates
| Autor: | Erhard Reschenhofer, Manveer Kaur Mangat |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2020 |
| Předmět: |
Statistics and Probability
Statistics::Theory Heteroscedasticity 021103 operations research Truncated F distribution 0211 other engineering and technologies 02 engineering and technology 01 natural sciences 010104 statistics & probability Ordinate Memory parameter Robust tests Outlier Range (statistics) Periodogram Statistical physics 0101 mathematics Mathematics |
| DOI: | 10.1080/03610926.2019.1709646 |
| Popis: | We propose new tests for testing hypotheses about the memory parameter that are based on ratios of periodogram ordinates. They are highly robust against conditional heteroskedasticity and outliers ... |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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