DocumentCode
2855557
Title
A test for "long-memory" processes
Author
Thomson, David J.
Author_Institution
Queen´´s Univ., Kingston, Ont., Canada
fYear
2003
fDate
28 Sept.-1 Oct. 2003
Firstpage
561
Lastpage
564
Abstract
This paper describes a multitaper test for long-memory processes against nonstationary alternatives. The test statistic is the largest canonical correlation between the multitaper eigencoefficients computed from data blocks offset in time. It is shown that the "Nile data" is not a long-memory process in the conventional sense, but has some persistent features at higher frequencies.
Keywords
correlation methods; eigenvalues and eigenfunctions; signal processing; statistical analysis; Nile data; long-memory processes; multitaper eigencoefficients; Data analysis; Frequency; Lattices; Parametric statistics; Rivers; Shape; Signal processing; Statistical analysis; Temperature; Testing;
fLanguage
English
Publisher
ieee
Conference_Titel
Statistical Signal Processing, 2003 IEEE Workshop on
Print_ISBN
0-7803-7997-7
Type
conf
DOI
10.1109/SSP.2003.1289528
Filename
1289528
Link To Document