| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1154446 | Statistics & Probability Letters | 2007 | 11 Pages |
Abstract
We study the limiting behavior of the prominent R/SR/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/SR/S statistic to its limit.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Alexander Aue, Lajos Horváth, Josef Steinebach,