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2008 The V/S test of long-range dependence in random fields
Frédéric Lavancier
Electron. J. Statist. 2: 1373-1390 (2008). DOI: 10.1214/08-EJS280

Abstract

Recently, Giraitis et al. (2003, [10]) proposed the V/S statistic for testing long memory in random sequences. We generalize this statistic to the setting of random fields. The null hypothesis is concerned with short memory random fields while the alternative contains a very large family of long memory random fields. Contrary to most of the previous works dealing with long-range dependence, no assumption is made about the isotropy of the strong dependence. Some simulations are presented in order to assess the power of the test according to the kind of long memory in presence.

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Frédéric Lavancier. "The V/S test of long-range dependence in random fields." Electron. J. Statist. 2 1373 - 1390, 2008. https://doi.org/10.1214/08-EJS280

Information

Published: 2008
First available in Project Euclid: 30 December 2008

zbMATH: 1320.62209
MathSciNet: MR2471291
Digital Object Identifier: 10.1214/08-EJS280

Keywords: long memory , Random fields , V/S statistic

Rights: Copyright © 2008 The Institute of Mathematical Statistics and the Bernoulli Society

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