Tests for Hurst effect

We consider the power of tests for distinguishing between fractional Gaussian noise and white noise of a first-order autoregressive process. Our tests are based on the beta-optimal principle (Davies, 1969), local optimality and the rescaled range test.

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Bibliographische Detailangaben
Veröffentlicht in:	Biometrika 1987-03, Vol.74 (1), p.95-101
Hauptverfasser:	DAVIES, R. B., HARTE, D. S.
Format:	Artikel
Sprache:	eng
Schlagworte:	Autocorrelation Autoregressive models Autoregressive process Beta-optimal test Exact sciences and technology Fractional Gaussian noise Hydrological series Inference from stochastic processes time series analysis Locally optimal test Long-term dependence Mathematics Power functions Probability and statistics Rescaled range Sample size Sciences and techniques of general use Self-similar process Significance level Simulation Statistical variance Statistics Test ranges Time series White noise
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Beschreibung
Zusammenfassung:	We consider the power of tests for distinguishing between fractional Gaussian noise and white noise of a first-order autoregressive process. Our tests are based on the beta-optimal principle (Davies, 1969), local optimality and the rescaled range test.
ISSN:	0006-3444 1464-3510
DOI:	10.1093/biomet/74.1.95