Title :
A test for "long-memory" processes
Author :
Thomson, David J.
Author_Institution :
Queen´´s Univ., Kingston, Ont., Canada
fDate :
28 Sept.-1 Oct. 2003
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;
Conference_Titel :
Statistical Signal Processing, 2003 IEEE Workshop on
Print_ISBN :
0-7803-7997-7
DOI :
10.1109/SSP.2003.1289528