Short range vs long range dependence. An hyppothesis test based on Fractional Iterated Ornstein--Uhlenbeck processes
短程与长程依赖:基于分数迭代 Ornstein–Uhlenbeck 过程的检验
In this work, which is based on the family of Fractional Iterated Ornstein Uhlenbeck processes, we propose a new hypothesis test to contrast short memory versus long memory in time series. This family includes short memory and long memory processes, and has the ability to approximate a long memory processes by a short memory processes. Based on the asymptotic results of the estimators of its parameters, we will present the test and show how it can be implemented. Also, we…