A frequency-domain test for long range dependence
نویسندگان
چکیده
منابع مشابه
A frequency domain empirical likelihood for short- and long-range dependence
This paper introduces a version of empirical likelihood based on the periodogram and spectral estimating equations. This formulation handles dependent data through a data transformation (i.e., a Fourier transform) and is developed in terms of the spectral distribution rather than a time domain probability distribution. The asymptotic properties of frequency domain empirical likelihood are studi...
متن کاملA frequency domain empirical likelihood for short- and long-range dependence∗ Short Title: Spectral empirical likelihood
This paper introduces a version of empirical likelihood based on the periodogram and spectral estimating equations. This formulation handles dependent data through a data transformation (i.e., Fourier transform) and is developed in terms of the spectral distribution rather than a time domain probability distribution. The asymptotic properties of frequency domain empirical likelihood are studied...
متن کاملLong Range Dependence
The notion of long range dependence is discussed from a variety of points of view, and a new approach is suggested. A number of related topics is also discussed, including connections with non-stationary processes, with ergodic theory, self-similar processes and fractionally differenced processes, heavy tails and light tails, limit theorems and large deviations.
متن کاملShort Range and Long Range Dependence
In this section a discussion of the evolution of a notion of strong mixing as a measure of short range dependence and with additional restrictions a sufficient condition for a central limit theorem, is given. In the next section I will give a characterization of strong mixing for stationary Gaussian sequences. In Sect. 3 I will give a discussion of processes subordinated to Gaussian processes a...
متن کاملA Practical Method for Weak Stationarity Test of Network Traffic with Long-Range Dependence
Testing the stationarity of real traffic remains a problem worth studying. Due to the importance of traffic theory in the Internet, to find a solution to such a problem brooks no delay. This paper presents a way to do the weak stationarity test of traffic with long-range dependence (LRD) as a single history traffic series of finite length. How to apply this method to real traffic on a packet-by...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Statistical Inference for Stochastic Processes
سال: 2017
ISSN: 1387-0874,1572-9311
DOI: 10.1007/s11203-017-9164-6