3 papers
math.ST2016
Semiparametric stationarity and fractional unit roots tests based on data-driven multidimensional increment ratio statistics
Jean-Marc Bardet, Béchir Dola
In this paper, we show that the central limit theorem (CLT) satisfied by the data-driven Multidimensional Increment Ratio (MIR) estimator of the memory parameter d established in B…
math.ST2012
Semiparametric stationarity tests based on adaptive multidimensional increment ratio statistics
Jean-Marc Bardet, Béchir Dola
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 a central limit t…
math.ST2010
Adaptive estimator of the memory parameter and goodness-of-fit test using a multidimensional increment ratio statistic
Jean-Marc Bardet, Béchir Dola
The increment ratio (IR) statistic was first defined and studied in Surgailis {\it et al.} (2007) for estimating the memory parameter either of a stationary or an increment station…