Scholarlink

<p>In this work, which is based on the family of Fractional Iterated Ornstein–Uhlenbeck processes, we propose a new hypothesis test to contrast short memory versus long memory in time series. Based on the asymptotic results of the estimators of its parameters, we will present the test and show how it can be implemented. Also, we will show a comparison with other tests widely used under both short memory and long memory scenarios. The main conclusion is that this new test is the one with best performance under the null hypothesis, and has the maximum power in some alternatives.</p>

错误：搜索内容不能为空，请输入英文关键词
错误：关键词超出字数限制，请精简
高级检索

An Hypothesis Test to Detect Short or Long Range Dependence Based on Fractional Iterated Ornstein–Uhlenbeck Processes

  • 期刊论文

  • 发表日期：

    2026年3月10日

查看全文
  • Juan Kalemkerian,
  • Andrés Sosa

摘要

In this work, which is based on the family of Fractional Iterated Ornstein–Uhlenbeck processes, we propose a new hypothesis test to contrast short memory versus long memory in time series. Based on the asymptotic results of the estimators of its parameters, we will present the test and show how it can be implemented. Also, we will show a comparison with other tests widely used under both short memory and long memory scenarios. The main conclusion is that this new test is the one with best performance under the null hypothesis, and has the maximum power in some alternatives.