Anne Philippe (Nantes) Tests statistiques sur le paramètre de longue mémoire d’un processus temporel vendredi 24 mai 2013, 14h30 - 15h15 Salle de réunion, espace Turing We deal with detection of non-constant long memory parameter in time series. The null hypothesis presumes stationary or nonstationary time series with constant long memory parameter, typically an $I(d) $ series with $d > .5$. The alternative corresponds to an increase in persistence and includes in particular an abrupt or gradual change from I$(d_1)$ to I$(d_2)$, $-.5 We discuss several test statistics based on the ratio of forward and backward sample variances of the partial sums. The consistency of the tests is proved under a very general setting. We also study the behavior of these test statistics for some models with changing memory parameter. A simulation study shows that our testing procedures have good finite sample properties and turn out to be more powerful than the KPSS-based tests considered in some previous works. The talk is based on the joint work with F. Lavancier, R. Leipus and D. Surgailis.
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