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Discrimination between monotonic trends and long-range dependence

Published online by Cambridge University Press:  24 August 2016

H. Künsch*
Affiliation:
ΕTH Zurich
*
Postal address: Seminar für Statistik, ETH-Zentrum, CH-8092 Zurich, Switzerland.

Abstract

We show that the periodogram behaves differently for a weakly dependent process with a small monotonic trend and a stationary strongly dependent process. In the former case it has a non-central -distribution with noncentrality parameter tending to 0 uniformly outside intervals . In the latter case it has λα −1 times a central -distribution, 0 < α < 1.

Type
Short Communications
Copyright
Copyright © Applied Probability Trust 1986 

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