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Measuring stationarity in long-memory processes
spectral density long-memory non-stationary processes goodness-of-ttests empirical spectral measure integrated periodogram locally stationary process bootstrap
2013/4/27
In this paper we consider the problem of measuring stationarity in locally stationary long-memory processes. We introduce an $L_2$-distance between the spectral density of the locally stationary proce...
Aggregation of autoregressive random fields and anisotropic long memory
Aggregation autoregressive random fields anisotropic long memory
2013/4/27
We introduce the notion of anisotropic long memory for random fields on $\mathbb{Z}^2$ whose partial sums on incommensurate rectangles with sides growing at different rates O(n) and $O(n^{H_1/H_2})$, ...