Bardet, Jean-Marc; Dola, Béchir - In: Journal of Multivariate Analysis 105 (2012) 1, pp. 222-240
The increment ratio (IR) statistic was first defined and studied in Surgailis et al. (2007) [19] 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. First, a...