An adaptive estimator of the memory parameter and the goodness-of-fit test using a multidimensional increment ratio statistic
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چکیده
منابع مشابه
An adaptive estimator of the memory parameter and the goodness-of-fit test using a multidimensional increment ratio statistic
The increment ratio (IR) statistic was first defined and studied in Surgailis et al. (2007) for estimating the memory parameter either of a stationary or an increment stationary Gaussian process. Here three extensions are proposed in the case of stationary processes. Firstly, a multidimensional central limit theorem is established for a vector composed by several IR statistics. Secondly, a good...
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ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 2012
ISSN: 0047-259X
DOI: 10.1016/j.jmva.2011.09.003