Testing for Hermite rank in Gaussian subordination processes

Kurzanzeige
dc.contributor.authorBeran, Jan
dc.contributor.authorMöhrle, Sven
dc.contributor.authorGhosh, Sucharita
dc.date.accessioned2016-03-24T08:53:26Z
dc.date.available2016-03-24T08:53:26Z
dc.date.issued2016-08-05
dc.description.abstractStatistical inference for time series with long-range dependence is often based on the assumption of Gaussian subordination Xt = G(Zt). Although the Hermite rank m of G plays an essential role for statistical inference in these situations, the question of estimating m or of testing hypotheses about the Hermite rank has not been addressed in the literature. In this paper, a method is introduced for testing H0: m = 1 against H1: m > 1. This allows for deciding whether inference based on the usual assumption of m = 1 is appropriate. Simulations and data examples illustrate the method.eng
dc.description.versionpublishedeng
dc.identifier.doi10.1080/10618600.2015.1056345eng
dc.identifier.urihttps://kops.uni-konstanz.de/handle/123456789/33448
dc.language.isoengeng
dc.subject.ddc510eng
dc.titleTesting for Hermite rank in Gaussian subordination processeseng
dc.typeJOURNAL_ARTICLEeng
dspace.entity.typePublication
kops.citation.bibtex
@article{Beran2016-08-05Testi-33448,
  year={2016},
  doi={10.1080/10618600.2015.1056345},
  title={Testing for Hermite rank in Gaussian subordination processes},
  number={3},
  volume={25},
  issn={1061-8600},
  journal={Journal of Computational and Graphical Statistics},
  pages={917--934},
  author={Beran, Jan and Möhrle, Sven and Ghosh, Sucharita}
}
kops.citation.iso690BERAN, Jan, Sven MÖHRLE, Sucharita GHOSH, 2016. Testing for Hermite rank in Gaussian subordination processes. In: Journal of Computational and Graphical Statistics. 2016, 25(3), pp. 917-934. ISSN 1061-8600. eISSN 1537-2715. Available under: doi: 10.1080/10618600.2015.1056345deu
kops.citation.iso690BERAN, Jan, Sven MÖHRLE, Sucharita GHOSH, 2016. Testing for Hermite rank in Gaussian subordination processes. In: Journal of Computational and Graphical Statistics. 2016, 25(3), pp. 917-934. ISSN 1061-8600. eISSN 1537-2715. Available under: doi: 10.1080/10618600.2015.1056345eng
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kops.sourcefieldJournal of Computational and Graphical Statistics. 2016, <b>25</b>(3), pp. 917-934. ISSN 1061-8600. eISSN 1537-2715. Available under: doi: 10.1080/10618600.2015.1056345deu
kops.sourcefield.plainJournal of Computational and Graphical Statistics. 2016, 25(3), pp. 917-934. ISSN 1061-8600. eISSN 1537-2715. Available under: doi: 10.1080/10618600.2015.1056345deu
kops.sourcefield.plainJournal of Computational and Graphical Statistics. 2016, 25(3), pp. 917-934. ISSN 1061-8600. eISSN 1537-2715. Available under: doi: 10.1080/10618600.2015.1056345eng
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