A Frequency-domain test for long range dependence

Gennadi Gromykov (1) , Mohamedou Ould Haye (1) , Anne Philippe (2, 3)

1 Carleton University
2 ANJA - ANJA
3 LMJL - Laboratoire de Mathématiques Jean Leray

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.

Mots clés: limit theorem; time series; Long memory; hypothesis test

Domaines: Statistiques [math.ST]

Gennadi Gromykov, Mohamedou Ould Haye, Anne Philippe. A Frequency-domain test for long range dependence. 2017. ⟨hal-01353483v2⟩