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New semiparametric stationarity tests based on adaptive multidimensional increment ratio statistics
Gaussian fractionally integrated processes Adaptive semiparametric estimators of the meme-ory parameter test of long-memory stationarity test unit root test.
2012/9/19
In this paper, we show that the adaptive multidimensional increment ratio estimator of the long range memory parameter defined in Bardet and Dola (2012) satisfies acentral limit theorem (CLT in the se...