2021/12/21 by Juan Kalemkerian, Kalemkerian, Juan, Andrés Sosa +1
Economics, Econometrics and Finance · Mathematics · #62M10 #Complex Systems and Time Series Analysis #FOS: Computer and information sciences #FOS: Mathematics #Financial Risk and Volatility Modeling #Methodology (stat.ME) #Statistics Theory (math.ST) #Stochastic processes and financial applications #math.ST #msc:62M10 #stat.ME #stat.TH
paper · pdf · doi:10.48550/arxiv.2112.10958
22 pages, 5 figures
arxiv created 2021/12/21 · openalex publication_date 2021/12/21 · arxiv updated 2021/12/22 · openalex created_date 2022/05/05 · openalex updated_date 2026/07/28
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 will show a comparison with other tests widely used under both short memory and long memory scenarios. The main conclusion is that this new test is the one with best performance under the null hypothesis, and has the maximum power in some alternatives.