A frequency-domain test for long range dependence

  • Gennadi Gromykov
  • Mohamedou Ould Haye
  • Anne Philippe
Article
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Abstract

A new frequency-domain test statistic is introduced to test for short memory versus long memory. We provide its asymptotic distribution under the null hypothesis and show that it is consistent under any long memory alternative. Some simulation studies show that this test is more robust than various standard tests in terms of empirical size when the normality of observed process is lost.

Keywords

Long memory Dependence Time series Limit theorem Hypothesis test 

Notes

Acknowledgements

The authors would like to thank the two anonymous referees for their invaluable comments and questions that greatly helped improve the first version of the paper.

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Copyright information

© Springer Science+Business Media B.V. 2017

Authors and Affiliations

  • Gennadi Gromykov
    • 1
  • Mohamedou Ould Haye
    • 1
  • Anne Philippe
    • 2
  1. 1.School of Mathematics and StatisticsCarleton UniversityOttawaCanada
  2. 2.Laboratoire de Mathématiques Jean Leray, 2 rue de la HoussiniereUniversité de NantesNantesFrance

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