4 papers · 1 filter
A Frequency-Domain approach to detect nonstationarity in dependent data
Mohamedou Ould Haye, Anne Philippe
Distinguishing long memory behaviour from nonstationarity can be very difficult as in both cases the sample autocovariance function decays very slowly. Available stationarity tests…
Irregularly observed long-memory Levy-driven moving average processes
Mohamedou Ould Haye, Anne Philippe
We study long-memory continuous-time moving-average processes driven by a Levy process and observed at random renewal times. The sampling scheme introduces an additional source of…
From nonstationarity to stationarity via noise: discrete Fourier transforms and sample mean asymptotics for testing
Mohamedou Ould Haye, Anne Philippe
We study the asymptotic behaviour of different statistics for time series exhibiting long memory and nonstationarity. For processes with memory parameter , we deriv…
Asymptotics for irregularly observed long memory processes
Mohamedou Ould-Haye, Anne Philippe
We study the effect of observing a stationary process at irregular time points via a renewal process. We establish a sharp difference in the asymptotic behaviour of the self-normal…