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Tests for Hurst effect. (English) Zbl 0612.62123
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 [see the first author, J. R. Stat. Soc., Ser. B 31, 524-538 (1969; Zbl 0186.520)], local optimality and the rescaled range test.

MSC:
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62M07 Non-Markovian processes: hypothesis testing
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