Rescaled range analysis in the presence of stochastic trend

We study the limiting behavior of the prominent R/S test statistic, aimed at detecting long-range dependence, if instead of long memory a stochastic trend given by cumulative random shocks is present. As the main result we derive the convergence rate of the R/S statistic to its limit.

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Year of publication:	2007
Authors:	Aue, Alexander ; Horváth, Lajos ; Steinebach, Josef
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 77.2007, 12, p. 1165-1175
Publisher:	Elsevier
Keywords:	Compound Poisson process Long memory Long-range dependence Rescaled range analysis Rescaled variance analysis R/S statistic Stochastic trend V/S statistic

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005223206