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Abstract Based on the ratio of two block maxima, we propose a large sample test for the length of memory of a stationary symmetric α-stable discrete parameter random field. We… Click to show full abstract
Abstract Based on the ratio of two block maxima, we propose a large sample test for the length of memory of a stationary symmetric α-stable discrete parameter random field. We show that the power function converges to 1 as the sample-size increases to ∞ under various classes of alternatives having longer memory in the sense of Samorodnitsky (2004). Ergodic theory of nonsingular ℤd-actions plays a very important role in the design and analysis of our large sample test.
Keywords:
memory stationary;
large sample;
sample test;
length memory;
test length
Journal Title: Journal of Applied Probability
Year Published: 2018
Link to full text (if available)
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Journal Title: Journal of Applied Probability
Year Published: 2018
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!