The Markov property is a fundamental property in time series analysis and is often assumed in economic and financial modelling. We develop a test for the Markov property using the conditional characteristic function embedded in a frequency domain approach, which checks the implication of the...

Motivated by the problem of nonparametric inference in high level digital image analysis, we introduce a general extrinsic approach for data analysis on Hilbert manifolds with a focus on means of probability distributions on such sample spaces. To perform inference on these means, we appeal to...

Using formal statistical tests, we detect (i) significant volatility increases for various types of capital flows for a period of changes in business cycle comovement among the G7 countries, and (ii) mixed evidence of changes in covariances and correlations with a set of macroeconomic variables.

Many time series in diverse fields of application may exhibit long-memory.The class of fractionally integrated (FI) processes can be used to try to model this strong data dependence. Asymptotic tests for FI include the re-scaled range statistic test and its modified form, the frequency-domain...