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非恒定长记忆参数的检测AI 解读

This article deals with detection of a nonconstant long memory parameter in time series. The null hypothesis presumes stationary or nonstationary time series with a constant long memory parameter, typically an I ( d ) series with d > −.5 . The alternative corresponds to an increase in persistence and includes in particular an abrupt or gradual change from I ( d 1 ) to I ( d 2 ), −.5 < d 1 < d 2 . We discuss several test statistics based on the ratio of forward and backward…

广泛依赖误差下平稳性对趋势与单位根的检验AI 解读

We suggest a rescaled variance type of test for the null hypothesis of stationarity against deterministic and stochastic trends (unit roots). The deterministic trend can be represented as a general function in time (e.g., nonparametric, linear, or polynomial regression, abrupt changes in the mean). Under the null, the asymptotic distribution of the test is derived, and critical values are tabulated for a wide class of stationary processes with short, long, or negative…